GEMS Economic Scenario Generator - Conning

Type of System

  • Economic scenario generator

Type of Platform

  • Desktop-based
  • Server-based
  • Grid

Most recent significant updates:

Version 6.7 of GEMS Economic Scenario Generator 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

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 Enteprise Risk Modeler Inputs. Pre-defined templates exist for exporting GEMS scenarios to major actuarial systems such as Prophet and MG-ALFA.

Implementation and Costs

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.

Key attributes of product:

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. Unique in the market, GEMS can be used in conjunction with Conning's Investment Optimizer tool to optimize a company's investment strategy on an asset-only basis or asset-liability basis using a risk/reward efficient-frontier optimization methodology.