Numerix Economic Scenario Generator
Transparency and Flexibility in an Easy-to-Use Application
• Risk neutral and real world scenarios
• Built on the world’s largest capital market
model library
• Easy to use with a simple workflow and
fast results
®
• Controlled production environment reduces
operational risk
• View and customize all model and
calibration settings
NUMERIX ESG
Empowering our clients to meet the regulatory requirements set forth in Solvency II,
IFRS, GAAP, AG43 and C3 Phase 2, Numerix ESG is a sophisticated stochastic
simulation framework for producing risk neutral and real world economic scenarios.
Built on the world’s most comprehensive capital market model library, Numerix
CrossAsset, Numerix ESG provides complete flexibility and transparency to
view and customize all model and calibration settings, giving users full control
of scenario generation.
At the same time, Numerix ESG is easy to use, with a simple workflow and fast
results. And its controlled production environment reduces operational risk relative
to an uncontrolled environment such as Microsoft Excel.
Numerix ESG: Advanced Models with Full Transparency
Numerix ESG provides insurers with the robust
scenarios they need to power downstream
applications such as economic and regulatory
Valuation
Regulatory
Reporting &
Capturing Hedging
Strategies
capital calculations, liability pricing, hedge
Numerix ESG
projections, and statutory reserve calculations,
while satisfying regulators and stakeholders
within the company.
Risk & Capital
Forecasting
Better Risk
Management
NUMERIX ESG CAPABILITIES
Numerix ESG enables users to:
• Generate risk neutral scenarios using a wide variety of industry-proven capital market models
• Calibrate risk neutral models using market data from any market economy and date
• Customize and import models from a comprehensive library of 40+ models across all major asset classes
• Create unified hybrid models that capture correlations among economies and asset classes
• Calibrate model parameters and risk premia to historical market data for real world scenarios
• Use real world-calibrated parameters in capital market models to generate real world scenarios
• Satisfy scenario criteria prescribed by regulators
View scenarios in a table or
a graph, or export to Excel for
use in other systems.
NUMERIX ESG BENEFITS
Transparency and flexibility
Comprehensive and advanced analytics
• Choose any desired model from 40+ industry-proven
models
• Market-standard models for all major asset classes,
including rates, equity, FX, credit, hybrids, inflation,
commodity, volatility and life
• View and customize all model and calibration settings
• Create custom indices and generate scenarios for them
• Incorporate risk premium assumptions for real world
scenarios
• Industry-leading hybrid framework produces market
consistent scenarios for instruments consisting
of multiple underlyings
• Integrate with any market data source
Consistency of models across the enterprise
Ease of use and quick results
• Export scenarios to other systems and different
departments for use across the enterprise
• Simple workflow to generate scenarios
• Calibrations optimized for rapid performance
• Distribute scenario generation job to a grid or cloud
to achieve significantly faster performances
• Model dynamics are consistent for both risk neutral
and real world scenarios, providing consistency in
a nested stochastic framework
View calibration results
for each model
NUMERIX ESG FEATURES
•
Unique hybrid model framework: specify component models and correlation; joint calibration process captures
market dynamics of each risk factor
•
Create, customize and import models in XML format from Leading Hedge Workbench into Numerix ESG
•
Scripting language for custom indices: create user-defined indices (such as target volatility funds, 60/40 funds, etc.)
and generate scenarios for them
•
Create scenario shocks and bumps at a granular level, leading to greater precision in risk assessment
•
Calibrate real world model parameters and risk premia to historical market data using Maximum Likelihood Estimation
•
Add risk premia to a stochastic volatility model to enable real world-consistent simulations of the underlying and
volatility paths
•
Project real world interest rates: produce user-defined, future yield curves that match a forecast of interest rate
behavior on average
•
Scalable high performance computing: distribute calculations to an internal grid or cloud platform such as Microsoft
Azure for large scenario sets
•
Low-discrepancy (‘quasi’) random number generator: native variance reduction leads to fast convergence
•
Data visualization: view 2D or 3D graphs of scenarios, Martingale tests, scenario percentiles and histograms,
correlations, calibration results, volatility surfaces, and yield curves/shocks
•
Audit trail: all scenario projections leave an audit trail in the database, recording all information needed
Validate realistic
real world scenario
behavior through
percentile charts
and histograms
THE NUMERIX DIFFERENCE
Discover why the world’s leading insurers and financial institutions use Numerix ESG:
Complete transparency and flexibility –
not a “black box”
• Use CrossAsset workbench to select, customize and
import models from a library of 40+ market-standard
models into Numerix ESG, enabling maximum model
control for power users
Consistency of risk neutral and real world models
• Model dynamics are consistent for both risk neutral
and real world scenarios, providing model consistency
in the outer and inner loops of a nested stochastic
framework
Easy-to-use and powerful
Scripting capabilities to create and generate scenarios
for custom indices
• Empowers new product innovation and fast time-tomarket for new product development
• User-friendly interface is easy for non-actuarial staff
to master, while actuaries and quantitative staff can
“dig under the hood” to customize models, calibrations,
indices, and scenarios shocks
Unique hybrid model framework
• Most robust hybrid model in the industry, enabling
accurate pricing and Greek calculations for
products consisting of multiple underlyings from
different asset classes
Unique hybrid model framework
allows users to select desired
models based on underlyings, and
use them as building blocks for the
hybrid model
SERVICES
INSURANCE SERVICES
Numerix provides a highly experienced global team of financial engineers and actuaries well-versed
in the complex regulatory, hedging and modeling issues that today’s insurance practitioners are
currently facing. From variable annuity (VA) and fixed indexed annuity (FIA) modeling to hedge
performance, economic scenario validation and regulatory reporting—our team of experts provides
the deep knowledge needed to address insurers’ needs.
ESG SERVICES
Our ESG Services involve taking the Numerix Economic Scenario Generator and implementing it—
using the right set of factors, the right set of data assumptions and the right set of model assumptions.
The ESG validation and best practices are then tailored by our team of actuaries and financial engineers
to meet the specific requirements of the customer.
Real World Calibration services are also available, to estimate model parameters and risk premia from
historical market data in order to generate real world scenarios.
Overall #1Technology Vendor
#1 in Pricing and Analytics:
Cross-Asset
Commodities
Credit
Equities
Foreign Exchange
Rates
#1 in Risk Management:
Market & Credit Risk
CVA, DVA, FVA
Technology Innovation
of the Year
Numerix
#1 in Systems Implementation
Efficiency & Support:
Best Service
Best Back-up
Copyright © 2014 Numerix LLC. All rights reserved. Numerix, the Numerix logo, and CrossAsset are either registered trademarks, or trademarks, of Numerix LLC in the United States and/or other countries.
®
Numerix LLC
Corporate Headquarters
Americas
EMEA
Asia
New York
99 Park Avenue
5th Floor
New York, NY 10016
Tel: +1 212 302 2220
Vancouver
Two Bentall Centre
555 Burrard St., Ste. 375
Box 222
Vancouver, Canada
V7X 1M7
Tel: +1 604 566 9655
London
41 Eastcheap, 2nd Floor
London, UK EC3M 1DT
Tel: +44 20 7648 6100
Tokyo
Marunouchi Trust
Tower Main, 20th Floor
1-8-3 Marunouchi, Chiyoda-ku
Tokyo, Japan 100-0005
Tel: +81 3 5208 1130
Chicago
30 South Wacker
22nd Floor
Chicago, IL 60606
Tel: +1 312 466 5708
San Francisco
One Embarcadero Center
Suite 500
San Francisco, CA 94111
Tel: +1 415 773 2837
Sao Paulo - Brasil
Avenida Brigadeiro
Faria Lima, 3729
4 Andar
Sao Paulo
04538905, Brasil
Tel: +5511 3443 7331
Paris
58 Bis rue de la Chaussée d’Antin
75009 Paris, France
Tel: +33 1 53 25 03 35
Frankfurt
An der Welle 4
60322 Frankfurt am Main
Germany
Tel: +49 (0) 69 7593 8636
Milan
Via Monte di Pieta’ 21
20121 Milano, Italy
Tel: +39 345 828 5440
Stockholm
Birger Jarlsgatan 2, 5 Floor
114 34 Stockholm, Sweden
Tel: +46 (0)8 505 65 100
Dubai
Dubai Silcon Oasis Headquarters
Building Office D110
P.O. Box 341122
Dubai, UAE
Tel: +971 (0) 4 372 4061
Seoul
21F Seoul Finance Center
84 Taepyeongro 1-ga
Jung-gu, Seoul Korea 100-768
Tel: +82(0)2 3782 4930
Singapore
8 Eu Tong Sen Street
#24-85 The Central
Singapore 059818
Tel: +65 6304 7982
Taipei
11F., Walsin Xinyi Building
1 Songzhi Road, Xinyi District
Taipei City
Taiwan, R.O.C. 110
Tel: +886 2 8729 2172
Hong Kong
Level 16
Man Yee Building
60-68 Des Voeux Road Central
Central, Hong Kong
Tel: +852 3796 2720
Beijing
Unit 1430
14F China World Office 1
No. 1 Jianguomenwai Ave.
Beijing 100004, China
Tel: +86 10 6535 0156
Mumbai
401, 4th Floor, C-Wing
Marathon Innova, Lower Parel
Mumbai - 400013, India
Tel: +91 22 2494 0131
Sydney
Level 34, 50 Bridge Street
Sydney, NSW 2047
Tel: +612 8216 0757
www.numerix.com