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
- Economic capital aggregation
- Solvency II solution
- Strategic Asset Allocation
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 the required software features, the number of users, and the range of economies to be 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, with clients often able to start producing meaningful management reports within a couple of months.
Most recent significant update:
Release 7.2 of FIRM® Portfolio Analyzer features an improved user interface, support for additional regulatory reporting out of the box, and enhancements to the cloud architecture, which allow large simulations to be run at a speed that would be difficult to achieve with the typical dedicated in-house system.
Planned future enhancements:
An agile approach provides regular releases of new features. There is a continued focus on risk-based capital, including improvements to the recalibration tools which allow the end-user to calibrate the tail distributions and correlations more accurately, as well as further integration of risk-based capital in the strategic asset allocation framework via the investment optimization tool.
Additional developments will extend the flexibility and reporting capability of the investment optimisation tool, supporting a blend of different risk/reward optimisation metrics and allowing users to customise the output and reports they create.
How does your solution integrate with third-party systems or in-house systems?
FIRM® Portfolio Analyzer utilises the cutting-edge asset models from the GEMS® Economic Scenario Generator, while also seamlessly integrating with the investment optimisation tool for strategic asset allocation analysis.
These tools are all built in the same code base and provide a seamless experience with the ability for user to switch on the functionality they require instead of having to migrate their models to a different system.
The investment optimisation tool integrates with third-party ALM systems via a user-friendly data repository, allowing institutional investors to use their existing actuarial models to perform their portfolio optimization.
What is the key attribute of your product(s) that differentiates it from your competitors?
FIRM® Portfolio Analyzer projects company earnings, balance sheet, and solvency position across tens of thousands of stochastic scenarios, incorporating the interactions of assets and liabilities and the impact of management decisions.
The investment optimisation tool uses then evaluate thousands of possible investment strategies, identifying those strategies that provide the maximum reward for a given level of risk. The flexibility, speed, and range of output available from this analysis sets it apart in the marketplace.
What trends are you seeing in terms of customer demand?
Institutional investors are increasing their holdings in private placements and equity as they search for yield in a volatile and low-return environment. In turn, this is driving demand for sophisticated stochastic modelling software like FIRM® which captures the interdependencies of these risks and provides insights on both an economic and an accounting basis.
Conning’s FIRM® Portfolio Analyzer models dynamic multi-portfolio trading strategies and strategic asset analyses.