Scenario Generation Solutions - Moody's Analytics

Type of System

  • Economic scenario generator
  • Portfolio analysis/hedging
  • Risk Management
  • risk scenario generation

Type of Platform

  • Cloud
  • Desktop-based
  • Server-based
  • Grid

Most recent significant updates:

The past year has seen further development of our ESG in the following main areas:

  • Real world modelling for investment ALM and asset management
  • Real World Best Views Calibration Service
  • Real world modelling for insurance capital
  • Market consistent valuation of insurance liabilities
  • Technology to support cloud deployment

Other Features

The offering facilitates

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

Integration with third-party or in-house systems?

Our Scenario Generation Solutions integrate with 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.

Implementation and Costs

Typical implementation costs:

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 define 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.

Key attributes of product:

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 use our models to assess group-wide economic and regulatory capital needs, to develop capital management strategies and to price complex embedded guarantees and options. These are fully transparent, integrated with the leading asset and liability model (ALM) software and supported by a range of services.

One of the largest teams in the world dedicated to the development, implementation and support of our scenario generation products.