DFA Capital Management – ADVISE and GEMS
General description of system
ADVISE - is an advanced, stochastic, Monte Carlo simulation tool designed to meet the unique requirements of insurance risk analysis for life insurance, non-life (property & casualty), and reinsurance companies. Using ADVISE, companies can project the full range of possible outcomes to give them visibility they need to properly assess and manage risks. ADVISE combines the power of complete business logic in liabilities, investments, accounting and economic scenarios for comprehensive, enterprise-wide modelling with the flexibility of a toolkit or spreadsheet. This scalable software platform delivers whole-company modelling with the ability to incorporate management decisions and business rules to better reflect real-world actions. Additionally, ADVISE offers sophisticated analytics, an integrated economic scenario generator - GEMS and board-quality reporting; it supports multi-entity modelling for companies with complex business structures and provides the functionality for aggregation, analysis and interpretation of model output that is essential for comprehensive risk management.
GEMS - Economic Scenario Generator is a technologically advanced ESG that employs some of the latest and most innovative ideas in the market today from practitioners and academics. GEMS enables users to simulate future states of the global economy and financial markets including the pricing of derivatives and alternative assets. It generates all the financial and macro-economic variables necessary for risk management, including multiple correlated common-stock indices, equity derivatives, alternative investment classes, treasury bonds, corporate bonds, mortgage-backed bonds and CMOs, municipal bonds, interest-rate derivatives, real estate, actual and expected multiple inflation indices, nominal and real GDP growth rate and the unemployment rate. Significantly different from other ESGs on the market, GEMS produces empirically validated realistic economic behaviour, resulting in scenario distributions with more realistic tails (rare events), which provides greater visibility into potential risks a company might face. It is also a rapid deployment ESG capable of producing both real-world and risk-neutral scenarios. GEMS software can be licensed separately or integrated with ADVISE.
Functions performed
ADVISE and GEMS are used for financial risk management, asset/liability management, economic capital modelling, reinsurance optimization, calculating market-consistent embedded values, strategic planning, Solvency II, risk aggregation analyses, and performance management.
Specific Solvency II features
Highlights include:
- Detailed asset modelling with a comprehensive set of asset classes including a rich selection of derivatives for more complete modelling capabilities.
- Uniquely strong on use test with a linear programming-based decision module that supports user-friendly development of optimal management strategies and assessing alternatives. Supports all stochastic modelling applications: reinsurance, investment management, product development, strategy/planning, corporate finance, etc.
- Complete approach to statistical quality tests including: financial options and guarantees, future management actions, modelling dependencies, and an integrated state-of-the-art ESG with comprehensive back-testing.
- Calibration standards supported by an integrated finance/accounting/tax/regulatory module that includes alternative accounting environments and benchmark portfolio capabilities.
- Integrated whole-company model that enables the modelling of both assets and liabilities and the interplay between them. Also supports multi-entity modelling for companies with complex business structures.
- Extensive analytical and reporting capabilities.
Specifications
Designed for maximum modelling flexibility and fully scalable, ADVISE and GEMS can run on a single PC up to a full grid computing environment depending on a client's needs. The high-performance software supports both 32-bit and 64-bit operating systems for both the client and the server. The technology scales simultaneously across multiple dimensions, eliminating the need for multiple runs for aggregation and enables the modelling of large-scale, complex simulations with ease.
Licensing/sales/support
ADVISE and GEMS are available on a subscription basis that includes training, upgrades and maintenance. DFA also offers consulting services; however, these are not required.
Types of user
The typical users of ADVISE and GEMS are insurance companies (life, non-life, reinsurance), asset management companies, financial institutions, and leading consulting firms.
Areas/countries with the most users
Global
Contact person and details
Website: www.dfa.com
U.S./Canada/Bermuda/Asia/Latin America
DFA Capital Management Inc.: +1 914-701-7200
Europe (except UK)
DFA Capital Ltd.: +49 (0)221 78 800-304
UK
DFA Capital Ltd. : +44 (0) 7748 768590