Scenario Generation Solutions - Moody's Analytics

Type of System

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

Type of Platform

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

Most recent significant updates:

Portfolio Module. The functionality is designed specifically to support modelling of sophisticated "liability aware" investment strategies and solutions. Capturing the complex interplay between liabilities, assets, and underlying economic and capital market risks.

The Portfolio Module includes a standalone managed portfolio model that enables customers to build portfolios incorporating a range of assets, control asset disinvestment/reinvestment, and track these assets in fair value and book value terms. It also includes Managed Portfolio Groups which extend the functionality to manage cash flows between portfolios, configuring portfolio management rules with optional conditions on their operation, and loading liability cash flows to project alongside the asset position.

A Unit Fund model that enables clients to specify a leveraged, currency hedged fund incorporating holdings of multiple asset types.

An AssetParser model which enables clients to create custom assets, enabling more flexible fund modelling.

Enhanced real yield curve and inflation modelling enabling multiple real yield curves to be modelled simultaneously and supports more flexible modelling of alternative inflation indices.

Introduced a new (pseudo) random number generator, and added a random number scrambler parameter to equity assets which enables greater control of the random number streams enabling more accurate martingale tests.

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?

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 licence 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 choose our solutions because

Our calibrations are:

  • Fully validated/documented calibrations (including Solvency II calibrations) delivered on working day 2 every quarter.
  • Supported by Moody’s Analytics Economists who generate house-views and assumptions with detailed documentation.
  • Change managed with a comprehensive governance framework to support regulatory applications.

We support our clients and transfer knowledge with:

  • Both initial and on-going training.
  • A dedicated Client Support Web and Client Support Desk.
  • Annual User Groups and Conferences.