Moody's Analytics - Scenario Generation Solutions
Type of System
- Economic / risk scenario generator
- Portfolio analysis/hedging
- 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?
Moody’s Analytics does not disclose pricing. Our standard pricing structure is based on an annual license 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 setup 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 Lægernes Pension, which will be using the Moody’s Analytics Scenario Generator for Solvency II liability valuation, stress testing, and scenario analysis. Lægernes Pension will also take advantage of the Moody’s Analytics Scenario Generator Automation Module, allowing the organization to streamline its modeling processes. By automating model setup, execution, and validation, both scenario production timelines and costs can be reduced.
Assimoco Group will use the Moody’s Analytics SolvencyWatch solution to monitor key solvency metrics. Powered by Moody’s Analytics award-winning modeling capabilities, the SolvencyWatch solution quickly calculates an insurer’s assets and liabilities to reflect the latest market conditions, enabling chief risk officers (CROs) to monitor their solvency position in real time.
Uniqa Insurance Group, one of Austria’s leading insurers, selected a number of Moody’s Analytics solutions in July 2017 for its valuation, components of its 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 its Solvency II Internal Model, and will also use the ESG for investment modeling and stress and scenario testing, benefitting from the flexibility of the ESG.
Provinzial NordWest selected Moody’s Analytics modeling 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 affect Solvency II valuations.
Most recent significant update:
- Introduction of the Cloud Burst Service that lets users run the Scenario Generator on Moody’s Analytics hosted cloud environment. This service provides access to thousands of computing cores on demand to allow the parallelization of computations and reduce runtimes from hours or days to minutes.
- Enhancements to our market-leading modeling and calibration content include:
- IFRS 17 Discount Curve services that deliver fully fitted yield curves each quarter across various economies
- Stochastic modeling capabilities that help insurers with their IFRS 17 valuation and with the production of the market-consistent yield curve
- Continuous updates to standard or customized stressed paths for economic and market variables and accompanying narrative stress definition as part of our Data Buffet® data service; it is now updated with our latest research and views on the credit and economic impacts of COVID-19
- Development of a stress testing calibration framework to support the use of climate change scenarios and assumptions for real-world calibrations
- Enhancements to the Portfolio Modeller to support modeling of sophisticated, liability-aware investment strategies as part of real-world modeling for investment ALM applications.
- Enhanced best views calibrations for projection of assets and liabilities.
- Enhancements to the insurance capital modeling applications with regulatory updates for different global regimes.
- Enhancements to our solution for the market-consistent valuation of insurance liabilities in the areas of runtime performance, data source updates, and modeling flexibility.
- Introduction of Moody’s Analytics SolvencyWatch™ solution helps provide insurers with real-time solvency metrics updates without the need to re-run the business’s full valuation model. Powered by Moody’s Analytics award-winning modeling capabilities, the SolvencyWatch solution quickly calculates an insurer’s assets and liabilities to reflect the latest market conditions, enabling chief risk officers (CROs) to monitor their solvency position in real time.
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 modeling system and all major ALM systems. We have grid-compatible architecture that 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 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 range of risk management activities.
- Our calibrations are fully validated and documented (including Solvency II calibrations), and delivered on working day 2 every quarter.
- Our products are supported by Moody’s Analytics economists who generate house views and assumptions along with detailed documentation.
- They are change-managed with a comprehensive governance framework to support regulatory applications.
- We support our clients and transfer knowledge through initial and ongoing training.
- We offer a dedicated client support web and client support desk.
- We hold annual user groups and conferences.
What trends are you seeing in terms of customer demand?
We are helping insurers assess what the future might hold as the pandemic evolves by bringing together our economic forecasting and scenario generation capabilities through our AXIS™ actuarial modeling software. From a risk perspective, history can always be helpful as a guide to the type of shocks we might see—but today’s crisis may be unlike historical events. So, there is clearly valuable insight to be gained by considering forward-looking economic scenarios based on the specifics of today’s environment. As a world leader in both economic forecasting and actuarial modelling, Moody’s Analytics can offer integrated solutions to help insurers understand the impact of different outcomes, and navigate their way through the pandemic.
Moody’s Analytics Scenario Generation Solution suite is a market-leader for stochastic models, software modules, and services.