01 February 2010
Published in: Software
Software update 1: DFA’s GEMS
DFA Capital Management (DFA) has launched three products based on GEMS, its economic scenario generator (ESG).
GEMS - Scenario Master provides advanced modelling and estimation technology for interest rates, inflation, corporate credit risk, equity markets and foreign exchange. Clients can use the product to meet Solvency II requirements, as well as for economic capital modeling, stochastic liability and capital valuation, product design and market-consistent embedded value calculations.
GEMS - Portfolio Analyzer includes all the capabilities in GEMS - Scenario Master with added functionality to handle applications such as strategic/dynamic asset allocation, variable annuity hedging, pension management strategies and risk attribution.
GEMS - Enterprise Modeler includes all the functionality of GEMS - Portfolio Analyzer and adds capabilities for asset aggregation at the entity level, as well as the ability to do investment and capital management within several accounting/regulatory regimes.