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Economic Scenario Generation

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

Libor Market Model with Stochastic Volatility and Displaced Diffusion

The rich and widely used model for generating risk neutral interest rates Libor Market Model with Stochastic Volatility and Displaced Diffusion is used within MavenBlue’s Economic Scenario Generator to generate the risk neutral interest rate scenarios.

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

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

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

Generate the future interest rate scenarios and fund developments based on your calibration. Up till 120 future years of simulations are possible.

Export the simulation results to external systems

Use the simulation results in external systems and processes, for example the valuation of your insurance liabilities.

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.