Solutions

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

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.

Contact now

Start the transformation of your Scenario Generation today!

Take the first step towards transforming how you produce Economic Scenarios with MavenBlue's cutting-edge platform. Contact us now to learn more!