Numerix Leading Hedge

Liability Product Development & Risk Management

Numerix Leading Hedge provides a production platform for end-to-end risk management and the hedging of life and annuity products—most notably Variable Annuities and Equity Index Annuities. Flexible in nature, it can be run as client server, gridded or cloud.

What can you do with it?

• Quickly structure any liability product from the most simple Life product to the most complex Variable Annuity, through Leading Hedge revolutionary “scriplet” technology.
• Ultra-fast Monte Carlo VaR analysis using Numerix’s breakthrough “One-Step” method
• Future proof with flexibility to handle all life and annuity products including all flavors of VAs (WB, IB, AB, DB) and EIA/FIA’s (Point to Point, Call Spread, Cliquet, Binary {Digital}, Asian Rainbow {Domestic/Global}) structures.
• Rapid projections of decremented account values across stochastic scenarios; incorporating partial withdrawals, base lapses, mortality, dynamic policyholder behavior, GMIB annuitization, rider election rates, GMDB claims and other factors.
• Generate Variable Annuity policy projections stochastically using unified hybrid model framework and deterministically using external prescribed scenarios.
• Build out variable and indexed annuities, balance sheets, and supporting income statement generation.
• Ultra-fast Monte Carlo VaR analysis using Numerix’s breakthrough “One- Step” approach.
• Easily configure stochastic processes for risk-neutral valuations, including higher-order Greeks (i.e., component-level delta and gamma, key-rate rho and vega across prescribed tenors).
• Produce a liability trading grid across a variety of market shocks for rebalancing hedge assets and intra-day rebalancing, with supporting trading models.
• Produce grouped results by legal entity, product or any other grouping.

How does it benefit you?

• Faster run time through Numerix’s industry leading fast Monte Carlo simulation techniques and GPU computing.
• Greater economic effectiveness of hedging programs by applying consistent valuation methods to both liabilities and their respective hedge assets, leaving less opportunity for breakage. Captures cross-Greeks between interest rates, equities, credit, FX and other factors through the Numerix hybrid model framework.
• Rapid product development and customization using Numerix’s revolutionary “scriptlet” technology. Users have access to “payoff code” making it easy to introduce new products into the system without system upgrade or additional consulting costs.
• Minimize implementation risk and costs by leveraging existing policy administrative and reporting infrastructure through a flexible data model with innovative data binding features. Users will not have to rebuild their existing systems in order to leverage Leading Hedge.
• Desktop, client-server, and a variety of flexible grid and cloud computing deployment options are supported.
• Optimized actuarial models, blending capital market models with actuarial science.