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Economic Scenario Generator Software

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Economic Scenario Generator Software

In a year where market movements and economic trends have been at the extremes, Moody's Analytics has cemented its reputation as a provider of economic scenario generator (ESG) systems, and claims the title of best ESG software for the second consecutive year.Among its core offerings, the firm aids assessment of group-wide economic and regulatory capital to help clients develop appropriate capital management strategies. The provider also offers "best of breed" models to calculate insurance liabilities across accounting standards such as IFRS 17 and regulations including Solvency II."In general, Covid-19 has led to a need for firms to better understand the drivers behind the changing risks in their business, and ensure they have understandable and accessible tools to support their quantitative analysis," says a Moody's Analytics spokesperson.Following the outbreak of the pandemic, the company introduced freely available monthly calibration services, previously quarterly, to all its clients from the end of March to the end of September 2020.It also moved its two-day training workshops to a fully online training format, which the firm says has been used extensively by clients in the Nordics, Hong Kong and Japan.In addition, the spokesperson says the firm has provided both deterministic and stochastic scenarios, based on different assumptions related to the pandemic, to support stress testing analysis.Going forward, Moody's Analytics is predicting increased usage of the cloud by firms to support stochastic scenario generation needs, and is making plans accordingly."We continue to invest heavily in our scenario generation software. Our calibration and modelling content is also continuously evolving to meet emerging and dynamic regulatory requirements," says the spokesperson.These requirements focus on yield curve modelling, IFRS 17 standards, Solvency II method changes and climate assumptions.The judging panel also praised the firm's ESG software for providing wide coverage of financial and economic factors and its ability to meet the latest needs in multiple markets worldwide.

This research paper, written by Conning and published by the Casualty Actuarial Society, serves as a basic guide to economic scenario generators with an emphasis on applications for the property/casualty insurance industry. With this guide, risk modelers will gain a firm foundation in the understanding and use of one of the most important tools for enterprise risk management.

This research paper, written by Conning and published by the Society of Actuaries, serves as a practical guide for understanding future paths of economies and financial markets, as well as the risk elements driving financial variability. The paper provides an overview of working with economic scenario generators and their specific applications within insurance, pensions, and retirement.

The Academy and the Society of Actuaries (SOA) have joined resources to manage the economic scenario generators used in regulatory reserve and capital calculations. The latest version of the interest rate and equity generator is now on the SOA website. The SOA will provide frontline support and maintenance for the economic scenario generators. A joint Society of Actuaries/American Academy of Actuaries Project Oversight Group will oversee the generators and assist the SOA in providing technical support and direction for the current and future versions of the generators.All versions of the generators, pre-packaged scenario sets, and documentation will be archived on this site. Academy members involved in creating and updating the generators will continue to work with the regulatory community and the SOA to refine the generators and implement regulatory requirements for economic scenario generators. Support questions should be directed scenarios were developed by the Academy's Economic Scenario Work Group (ESWG).

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