CHESS (Cloud Hosted Economic Scenario Generator) - Milliman

Type of System

  • Economic scenario generator

Type of Platform

  • Cloud
  • Web-based
  • SaaS

Most recent significant updates:

Accelerated techniques to calibrate LMM+ and SVJD models.

Integration of normal volatilities in the risk-neutral calibration process.

Possibility to specify economic targets in real-world scenarios.

Planned future enhancements:

Calibration and generation tasks batching.

Integration of a broader range of residuals distributions for the real-world modeling (in order to fully capture skewness and heavy tails specificities).

Implementation and Costs

Typical implementation costs:

CHESS doesn't require any implementation working. User only needs to have an internet connection to generate scenarios tables with the tool.

How long does your software take to implement on site?

The solution is immediately usable by the company. CHESS is a Software as a Service (SaaS) solution based on a secured interface between a website and a calculation engine hosted in Microsoft Azure Cloud.

Key attributes of product:

CHESS is an ESG which relies on powerful cloud computing technology allowing calibration of multiple and complex models in a short period of time and projection of sizeable economic scenario tables.

CHESS allows the users to choose among a variety of standard and complex risk-neutral and real-world models, the most appropriate one.

CHESS integrates various functionalities to analyze and visualize the outputs produced by the models and ensure that final results are in line with expectations.

CHESS is a fully documented solution including mirror Excel spreadsheets to facilitate better understanding of underlying calculations and results.