Conning - GEMS® Economic Scenario Generator
Type of System
Economic / risk scenario generator
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. Built-in standard templates allow for comprehensive single/multiple economy scenarios to be generated immediately. Full model implementation depends on client-specific aspects and is proportional to desired depth and breadth of model elements.
Most recent significant update:
With the release of version 7.0, GEMS® Economic Scenario Generator 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 GEMS® 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. Predefined templates exist for exporting GEMS scenarios to major actuarial systems such as MG-ALFA.
Additionally, the GEMS® Economic Scenario Generator can now be fully integrated with the Prophet actuarial software solution. This new integration layer allows Prophet users to seamlessly generate GEMS® economic scenario data from within Prophet, without cumbersome and inefficient intermediate files, for both point-in-time projections and forecasted on-the-fly simulations. These new capabilities will provide Prophet clients the ability to solve a wide range of actuarial problems that, until now, have required significant pre-processing and data manipulation.
What is the key attribute of your product(s) that differentiates it from your competitors?
The GEMS® Economic Scenario Generator features robust economic scenarios that capture extreme financial market risks and support hedging strategies with market-consistent pricing technology. Its credit models capture rating transitions, defaults and recoveries, and its FX models are correlated across global economies. It is designed for both real world and risk neutral applications. A comprehensive set of calibration and target parameterization tools are available for user customizations.
Conning’s GEMS® ESG simulates future states of the global economy with real-world and risk-neutral scenarios.