Numerix ESG is a sophisticated stochastic simulation framework that can be used to produce risk neutral and real world economic scenarios—which can be used across all business units, for all work products. Scenario sets can be easily integrated with in-house or other third party liability systems providing capital market model consistency across the firm.
With Numerix ESG, clients can find a competitive advantage through the application of sophisticated ESG techniques right from the product design phase.
Full model transparency for different reporting frameworks including IFRS, GAAP, VACARVM, C3 Phase 2 and Solvency II is also possible.
Experience the Benefits of Numerix ESG:
Create unified hybrid models that capture correlation among economies and asset classes
Access user-defined advanced scenario modeling
Access scenarios throughout the enterprise, across a wide range of interfaces
Automatically download market data using pre-integrated adaptors, or use custom data
Full model transparency with detailed documentation that will help a firm explain its assumptions to regulators and auditors
Designed to reduce model risk by enabling precise calibration of multi-factor models, allowing the user to specify component models and correlation, and then apply a joint calibration process to accurately capture the observed market dynamics of each risk factor
Scenario sets can be easily integrated with your in-house, or other third party liability systems, providing capital market model consistency across the firm
Advanced Modeling Capabilities
Underpinning Numerix ESG is the industry’s most comprehensive collection of models and methods, allowing institutions the flexibility to configure all underlying elements — driving the production of scenarios.
Numerix Hybrid Model and Joint Calibration Framework
Select desired models based on underlyings, and use them as building blocks for the hybrid model:
Numerix hybrid model framework produces accurate valuations for instruments consisting of multiple underlyings:
Joint calibration leads to market consistent hybrid models, stochastic rates and stochastic FX with adequate option prices
Calibration is embedded in the Numerix ESG software encompassing fast calibration and ability to easily modify calibration setup
The choice of models is not biased, as Numerix ESG is not limited to a few models
Numerix ESG allows users to study and mitigate model risk
Numerix ESG provides ultimately more stable Greeks, which can imply less swings in calculated liability sensitivities.
User-Defined Advanced Scenarios Modeling
Underlying Numerix ESG is a unique risk framework that allows custom implementations of business rules that determine how scenarios are created and how they interact in forward projections. Some examples would include:
Creating new indices in the scripting language that incorporate business logic that is user defined;
Ability to model scenarios for specific cash flow logic which can be fed directly into a third party projection software;
Ability to shock scenarios at a granular level, leads to precision in the risk assessment;
Extensive shock framework (cross-Greeks, high order Greeks), ability to generate scenarios for risk calculation purposes
Our joint calibration process provides more accurate calibrations of the entire option set by taking into account the effects of model components.
• Many choices per model
• View/determine/examine quality of calibration
• “Advanced Markovin projection” for hybrid model calibration
• Best practices for model calibration
Learn why our clients selected Numerix
to solve their business challenges.