Verifiable Monte Carlo comes back into fashion

Monte Carlo simulation has always been the workhorse of quantitative risk, but the way risk teams are being asked to defend a simulated number has changed. Under FRTB-IMA and the ongoing Solvency II review, an auditor now expects to be handed enough evidence to run the simulation themselves.

That expectation makes reproducibility a first-class product concern, not an implementation detail. A run that cannot be independently repeated is, from the supervisor's point of view, a run that did not happen.