Type of System
- Asset/liability management
- Capital modelling
- Economic scenario generator
- Exposure management
- Portfolio analysis/hedging
- Risk Management
- Stress testing
Type of Platform
Most recent significant updates:
Version 6.8 of FIRM Portfolio Analyzer included:
- Introduction of Corporate Sector Yield Model
- Extension of currency exchange modelling to provide for FX-Pegging
- Introduction of additional new Risk Neutral Interest Rate Model
- Extension of Equity Calibrations Targets to include Simple and Cumulative Mean Returns
- Introduction of Risk Neutral Automation Tool
- Segmentation of Projected Cashflows by Leg
- Multiple extensions of Key Rate Duration functionality
Planned future enhancements:
Support for browser-based front-end user interfaces with d3-based charting, ongoing development to address regulatory changes.
The offering facilitates
- Least-squares Monte Carlo
- NAIC's RMORSA
- Solvency II standard formula
- Solvency II internal model
- Replicating portfolios
- IFRS 17
- Principle-based reserving
Integration with third-party or in-house systems?
Yes. Inputs to our model can be populated via import/export from text files formatted appropriately to be read by our system.
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.
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.