Numerix ESG Adopted as Powerful Liabilities Pricing Tool with Consistent Real World and Risk Neutral Model Dynamics

New York, NY May 18, 2015 – France's leading provider of life insurance, CNP Assurances has adopted Numerix’s Economic Scenario Generator as a fast and accurate solution for its derivatives and liabilities pricing. Built on the world’s most comprehensive capital market model library, Numerix CrossAsset, Numerix ESG is a sophisticated stochastic simulation framework for producing risk neutral and real world economic scenarios within a consistent modelling environment.

CNP Assurances required more accurate projections of both risk neutral and real world scenarios to assess, and better understand static and dynamic modeling assumptions for fund allocation strategies and more generally for ALM studies.

Consistent Modelling Framework for Risk Neutral and Real World Scenarios

Numerix ESG model dynamics are consistent for both risk neutral and real world scenarios. The unique hybrid model framework of Numerix ESG enables the customization of all model and calibration settings for scenarios giving users full control of scenario generation. With Numerix, CNP Assurances is able to select desired models based on underlyings, and use them as building blocks to create unified hybrid models that capture correlations among asset classes.

“The flexibility of Numerix models and transparency that comes with the ability to view and customize all model and calibration settings was central to our interest for Numerix ESG,” said Jean-Philippe Medecin, Head of ALM, Investment Division at CNP Assurances. “With a unified modelling framework for risk neutral and real world scenarios, we’re able to power applications with robust, consistent scenarios for our ALM model. We’re also confident in our utilization of Numerix ESG generated real world scenarios for benchmarking purposes. This also helps us with our ALM studies.”

“Numerix ESG brings together risk neutral modeling dynamics for pricing and hedging, with stochastic real world scenarios for projecting forward liabilities for capital and reserving requirements,” said Steven R. O’Hanlon, Chief Executive Officer & President of Numerix. “With a consistent modelling dynamic between risk neutral models and real world models, users can build out a nested stochastic framework that’s not only consistent and defensible, but optimized for computational run time.”

About Numerix

Numerix is the award winning, leading independent analytics institution providing cross-asset solutions for structuring, pre-trade price discovery, trade capture, valuation and portfolio management of derivatives and structured products. Since its inception in 1996, over 700 clients and 90 partners across more than 26 countries have come to rely on Numerix analytics for speed and accuracy in valuing and managing the most sophisticated financial instruments. With offices in New York, Boston, Chicago, San Francisco, Sao Paulo, Vancouver, London, Paris, Milan, Stockholm, Frankfurt, Dubai, Beijing, Mumbai, Hong Kong, Seoul, Singapore, Sydney, Tokyo and Taipei, Numerix brings together unparalleled expertise across all asset classes and engineering disciplines. For more information please visit

About CNP Assurances

CNP Assurances is France’s leading personal insurer with net profits of €1,080 million in 2014. The Group also has operations in other European countries and in Latin America, with a significant presence in Brazil. It has more than 28 million personal risk/protection insureds worldwide and more than 13 million savings and pensions policyholders. For 160 years, CNP Assurances has been protecting people against the risks of everyday life. The Group designs and manages life insurance, pension, personal risk insurance and protection products (term creditor insurance and health insurance).

  • In France, CNP Assurances distributes its individual insurance products through La Banque Postale and the Caisses d’Epargne, as well as through its own network: Amétis. In Brazil, its second largest market, the Group’s partner is Caixa Econômica Federal, the country’s second-biggest state-owned bank.
  • In group insurance, CNP Assurances crafts tailor-made personal risk, pension and term creditor insurance products that are aligned with the needs of companies, local authorities, mutual insurers, non-profit organizations, and banks in Europe and Latin America.

CNP Assurances has been listed on the Paris Stock Exchange since October 1998 (the first market) and has a stable shareholder structure thanks to the signing of an agreement between its major shareholders (Caisse des Dépôts, La Banque Postale, Groupe BPCE and the French State).

For more information please visit

Emily Ahearn
Director of Public Relations
Phone 646 898 1294

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