FIRM Portfolio Analyzer - Conning

Type of System

  • Capital modelling
  • Economic scenario generator
  • Exposure management
  • Portfolio analysis/hedging
  • Risk Management

Type of Platform

  • Desktop-based
  • Server-based
  • Grid

Most recent significant updates:

Version 6.7 of FIRM Portfolio Analyzer included:

  • The introduction of GARCH framework for use within Market Indices and Macroeconomic models
  • Extension of callable bond functionality to allow for multiple call dates/prices
  • Introduction of curve smoothing for calibration of risk-free interest rates
  • Introduction of additional Risk-Neutral Validation Reports, with extensions to new and existing Validation Reports
  • Consolidation and extension of capabilities for importing Predetermined Data in a variety of formats
  • Introduction of Key Rate Duration functionality¬†

Planned future enhancements:

Support for cloud computing, browser-based front-end user interfaces with d3-based charting, ongoing development to address regulatory changes.

Other Features

The offering facilitates

  • Curve-fitting
  • Least-squares Monte Carlo
  • Solvency II standard formula
  • Solvency II internal model
  • Replicating portfolios

Integration with third-party or in-house systems?

Yes. See entry for ADVISE Enterprise Risk Modeler

Implementation and Costs

Typical implementation costs:

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. Implementation time is dependent on client needs and is proportional to desired depth and breadth of model elements.

Key attributes of product:

FIRM Portfolio Analyzer provides the most robust investment risk modelling capability available in the market, combining the capital markets capabilities of the GEMS ESG with a sophisticated investment module for full stochastic modelling. The system provides for projecting multi-portfolio trading strategies across entities, on both economic and book value bases, and investment risk analysis on an aggregate or individual security basis. FIRM's investment risk/reward modeling capabilities are enhanced when combined with our Investment Optimizer tool. FIRM's simulations can be imported into other risk management systems or externally generated liability cash flows, and reserves can be imported into FIRM for asset-liability modelling.