Conning - FIRM® Portfolio Analyzer
Type of System
- Asset/liability management
- Capital modelling
- Economic / risk scenario generator
- Internal/external reporting
- Portfolio analysis/hedging
- Solvency II solution
- Strategic Asset Allocation
- Stress testing
Type of platform
Other features - the offering facilitates:
- Least-squares Monte Carlo
- NAIC Principle-based reserving
- NAIC RMORSA
- Replicating portfolios
- Solvency II internal model
- Solvency II standard formula
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:
The most recent release of the software included several significant updates, including:
- Improvements to the content, analysis, and graphics provided in the quarterly parameterization validation reports.
- Enhancements to the recalibration tool which allow the user to target percentiles in the model distributions and then validate how the new parameters will affect the simulated results, all without running a full simulation.
- Launch of the cloud-based Allocation Optimizer tool, which integrates with the output from FIRM® Portfolio Analyzer to produce stochastic efficient frontier analysis and identify a Strategic Asset Allocation.
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.
- Ongoing improvements to the economic models include the simulation of a global market crash. These developments also allow more flexibility when adjusting the tails of the model distributions.
- Model parameterizations for over 20 economies will be available within a few days of the quarter end, enabling our clients to keep their management informed with timely analysis.
- Additional developments will extend the flexibility and reporting capability of the strategic asset allocation tool, allowing users to optimize their portfolio with respect to their regulatory capital requirements.
How does your solution integrate with third-party systems or in-house systems?
FIRM® Portfolio Analyzer utilizes the cutting-edge asset models from the GEMS® Economic Scenario Generator, while also seamlessly integrating with the investment optimization 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 optimization 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 optimization 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?
A combination of the low-interest rate environment and evolving regulation is driving institutional investors to rethink their investment strategy. This, plus an increased focus on risks stemming from COVID-19, 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.