Moody's Analytics - Scenario Generation Solutions
Type of System
- Economic / risk scenario generator
- Risk management
- Stress testing
- 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?
Moody’s Analytics do not disclose pricing. Our standard pricing structure is based on an annual licence fee based for permitted use, permitted users, number of economies and model choices. Costs for scenario services are determined based on the defined project requirements.
How long does your software take to implement on site?
This depends on the client’s requirements, but often clients can be up and running very quickly. For a simple configuration, installation and set-up may only require a few hours. More sophisticated requirements may result in a more complex implementation.
Please name companies that use the system/solution
Recent client wins include Uniqa Insurance Group, one of Austria’s leading insurers selected a number of Moody’s Analytics solutions in July 2017 for their valuation, components of their internal model, strategic asset allocation, and portfolio optimization.
Admiral Group selected the Moody’s Analytics Economic Scenario Generator (ESG) in October 2017 for market risk calculation as part of their Solvency II Internal Model, and will also use the ESG for investment modelling and stress and scenario testing, benefitting from the flexibility of the ESG.
Provinzial NordWest selected Moody’s Analytics modelling technology in June 2018 for actuarial valuations and investment analysis.
Allianz Suisse selected Moody’s Analytics Economic Scenario Generator in July 2018 to produce regulatory compliant risk-neutral scenarios for the Swiss Solvency Test (SST), and to analyze how model choice and input assumptions can impact Solvency II valuations.
Most recent significant update:
Portfolio Modeller supports support modeling of sophisticated liability aware investment strategies. It enables clients to build portfolios incorporating a range of assets, control asset reinvestment and rebalance strategies, and track these assets in market value and book value terms.
Modeling and calibration enhancements for investment ALM, projection of assets and liabilities, and the valuation of insurance liabilities.
Added a flexible liability model to enable specification of more complex liability values and cashflows.
Increased the asset modeling coverage through the addition of equity option modeling. Added the ability to specify transaction costs incurred on purchases and sales of physical assets.
Added the ability to specify trading conditions based on the funding ratio of a portfolio group, and increased the asset modeling coverage through the addition of mortgage backed securities.
Extended the outputs available within the managed portfolios logging files to better understand the composition of bond portfolios.
Enhanced the credit model for modeling credit risky bonds using the model when running in deterministic run mode.
Planned future enhancements:
How does your solution integrate with third-party systems or in-house systems?
Our scenario generation solutions integrate with Moody’s Analytics AXIS™ Actuarial modelling system and all major ALM systems. We have grid-compatible architecture which works with grid products from Microsoft and Digipede, which clients license separately from these companies.
What is the key attribute of your product(s) that differentiates it from your competitors?
Moody’s Analytics Economic Scenario Generation Solutions are compiled from a suite of leading-edge stochastic models, software modules and services that allow insurers and other financial institutions to undertake a wide range of risk management activities. Our clients choose our solutions because
Our calibrations are, fully validated/documented calibrations (including Solvency II calibrations) delivered on working day 2 every quarter.
Supported by Moody’s Analytics economists who generate house-views and assumptions with detailed documentation.
Change managed with a comprehensive governance framework to support regulatory applications.
We support our clients and transfer knowledge with, both initial and on-going training.
A dedicated client support web and client support desk.
Annual user groups and conferences.
Moody’s Analytic Scenario Generation Solutions. A market leading suite of stochastic models, software modules and services