GEMS Economic Scenario Generator - Conning

Type of System

  • Economic scenario generator

Type of Platform

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

Most recent significant updates:

Version 6.8 of GEMS Economic Scenario Generator 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.

Other Features

The offering facilitates

  • Curve-fitting
  • 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?

Inputs to the model can be populated via import/export from text files formatted appropriately to be read by our system.

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.

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.