Conning - FIRM® Portfolio Analyzer
Type of System
- Capital modelling
- Economic / risk scenario generator
- Exposure management
- Risk management
- Stress testing
- Asset/liability management
- Portfolio analysis/hedging
Type of platform
Other features - the offering facilitates:
- Least-squares Monte Carlo
- Replicating portfolios
- NAIC RMORSA
- NAIC Principle-based reserving
- Solvency II standard formula
- Solvency II internal model
- IFRS 17
What are the typical implementation costs?
The annual subscription fee depends upon client requirements. Variables include number of users, geographic installations, and economies modelled.
How long does your software take to implement on site?
The software can be downloaded, installed, and licensed in less than an hour. Implementation time is dependent on client needs and is proportional to desired depth and breadth of model elements.
Most recent significant update:
With the release of version 7.0, FIRM® Portfolio Analyzer is now fully cloud computing capable, a service ready to be turned on when it is needed, with no cost of ownership when it is not. Because of economies of scale, cloud computing allows simulations to be run at a speed that would be prohibitively expensive to achieve with a dedicated in-house system, enabling larger and therefore more informative simulations than were previously practical.
Planned future enhancements:
Support for browser-based front-end user interfaces with d3-based charting, ongoing development to address regulatory changes, ongoing development of calibration targets.
How does your solution integrate with third-party systems or in-house systems?
Inputs to our model can be populated via import/export from text files formatted appropriately to be read by our system. These can be fed into FIRM® with a simple menu command or under programmatic control via our command line interface. The command-line interface enables users to automate the process of data collection, calibration, scenario production, extraction and validation in a simple and intuitive way. Simulation results can be exported to flat files, following user-defined templates that control the field names, formatting and naming conventions of the files. Pre-defined templates exist for exporting FIRM® scenarios to major actuarial systems such as Prophet and MG-ALFA.
What is the key attribute of your product(s) that differentiates it from your competitors?
FIRM® Portfolio Analyzer provides the most robust investment risk modelling capability available in the market, combining the capital markets capabilities of the GEMS® Economic Scenario Generator with a sophisticated investment module for full stochastic modelling. The system provides for projecting multi-portfolio trading strategies across entities, on both economic and book value bases, and investment risk analysis on an aggregate or individual security basis. FIRM®’s investment risk/reward modelling capabilities are enhanced when combined with our Investment Optimizer tool. FIRM’s simulations can be imported into other risk management systems or externally generated liability cash flows, and reserves can be imported into FIRM® for asset-liability modelling.
Conning’s FIRM® Portfolio Analyzer models dynamic multi-portfolio trading strategies and strategic asset analyses