Economic Scenario Generators are critical to balance sheet projections and the option valuation. Generating scenarios with speed and agility can be challenging. MavenBlue’s ESG utilizes a new technological framework to dramatically increase the speed with which real world and market-consistent scenarios are generated.
Flexible and Fast Real World and Risk Neutral Economic Scenario Generator
MavenBlue’s ESG Platform
MavenBlue’s Economic Scenario Generator is built for Capital Modelling processes. Delivering speed of execution alongside increased flexibility. The solution is accessed centrally from the cloud and powered by Graphical Processing Units enabling calculations to be spread over thousands of calculation cores.
Speed
Economic Scenarios can be generated in minutes. Enabling actuaries to reconfigure economic assumption sets quickly and easily. Feeding the balance sheet management platform of MavenBlue or existing actuarial modelling platforms i.e. best estimate analysis.
Risk Neutral and Real World
MavenBlue’s ESG offers both Risk Neutral and Real World economic scenario generation.
Integration
MavenBlue has extensive experience integration financial modelling processes. Automating either the data input for ESG computation or automating the output of economic scenarios to your financial modelling processes.
Gain full control of the generation of risk neutral economic scenarios
Best in class models for a variety of asset classes
Best in class models for a variety of asset classes MavenBlue’s Economic Scenario Generation Platform covers a wide range of asset classes through best in class models for:
nominal interest rate curves
real interest rate curves and inflation curves
inflation
equities
property
credit-spreads and defaults
Fund prices are modeled with a time varying deterministic model
Fund prices are modeled with a time varying deterministic model
Multiple economies and funds can be defined and modeled within MavenBlue’s Economic Scenario Generator. The fund prices are modeled with a time varying deterministic model.
Calibrate the models on your own data
Calibrate the models on your own data
Due to the enormous computing power of MavenBlue’s Parallel Computation Platform, the calibration of the LMM SV DD interest rate model and the fund models is just a matter of minutes.
Extensive possibilities to test the calibrations
Extensive possibilities to test the calibrations
A wide range of tests is readily available, from martingale tests to price and volatility tests. Graphical presentation of the test outcomes gives you deep insights into the quality of calibration.
Based on the test outcomes, it is possible to select a seed to drive the simulation.
Simulate the interest rate curves and fund developments based on your calibration
Simulate the interest rate curves and fund developments based on your calibration
Generate the future interest rate scenarios and fund developments based on your calibration. Up till 120 future years of simulations are possible.
Features
A powerful and comprehensive solution accelerating key processes
Cailbration
Calibration based on historic zero swap curves and fund returns
Possibility to define correlations
Apply weights to different funds in calibration
Define base economy and multiple alternative economies
High-speed calculations
Parallel processing using special purpose hardware (GPUs)
User-defined number of projections (500-50.000 or more)
Less than 1 minute computing time
Test the calibration
Modeled versus realized
Martingale tests
Absolute and relative price tests
Absolute and relative volatility tests
Graphical user interface showing test outcomes to the user
Modern infrastructure and technology
Web-based
Multi-device
Cloud, private cloud or on-premise configuration
Interfaces for importing and exporting data
Simulation
Run simulation based on calibration
Define scenarios for simulation
Export interest rate scenarios to external systems
Audit trail and data security
Audit trail in key processes
Secured database and dataflows
Compliance with IT requirements
Services
MavenBlue provides a range of services to meet individual client requirements
Tailor-made functionalities
Add tailor-made functionalities to adapt the ESG Solution to your own risk management framework. Your custom requests are implemented with the same quality and care as the standard functionality, and are fully documented and system tested before delivery to your acceptance test environment.
Interfacing
The ESG Solution can interface with your current systems in different degrees of robustness. You can connect to the standard interfaces provided by the ESG Solution or we can develop a specific interface for your databases or systems.
Training
Training sessions will be organised using practical examples related to your business. MavenBlue will ensure that you will be able to use all of ESG Solution’s functionalities and its many applications most effectively. Within the ESG Solution, online explanation and instruction is at your disposal.
License
The annual full-license fee gives access to all the ESG Solution features and all software updates for a one year period. Choose a cloud, a private cloud or an on-premise implementation. License fees vary based on your implementation choice.
To provide the best experiences, we use technologies like cookies to store and/or access device information. Consenting to these technologies will allow us to process data such as browsing behavior or unique IDs on this site. Not consenting or withdrawing consent, may adversely affect certain features and functions.
Functional
Always active
The technical storage or access is strictly necessary for the legitimate purpose of enabling the use of a specific service explicitly requested by the subscriber or user, or for the sole purpose of carrying out the transmission of a communication over an electronic communications network.
Preferences
The technical storage or access is necessary for the legitimate purpose of storing preferences that are not requested by the subscriber or user.
Statistics
The technical storage or access that is used exclusively for statistical purposes.These cookies are for Analytics purposes.
Marketing
De technische opslag of toegang is nodig om gebruikersprofielen op te stellen voor het verzenden van reclame, of om de gebruiker op een site of over verschillende sites te volgen voor soortgelijke marketingdoeleinden.
