GEMS® Economic Scenario Generator

Insurance Risk Awards Winner 2013

GEMS® is a state-of-the-art economic scenario generator (ESG) that simulates future states of global economies and capital markets using leading edge economic models, providing full market risk and asset class coverage, including alternative assets and pricing of derivatives. It leverages industry-leading financial models and offers both real world and market-consistent risk neutral stochastic modeling functionality. GEMS® provides a realistic representation of extreme events and supports hedging strategies with market-consistent pricing.

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GEMS® is the ESG that drives Conning's FIRM® Portfolio Analyzer and ADVISE® Enterprise Risk Modeler systems. However, many insurers select GEMS® as a stand-alone ESG for use in conjunction with other risk modeling applications in their enterprise risk management platform. GEMS® provides for seamless integration with these systems.

Among the variables modeled by GEMS® are interest rates, inflation, corporate credit risk, equity markets and foreign exchange as well as GDP and unemployment. Correlations among economies are rigorously maintained. The economic and capital markets models that are internal to GEMS® are continually updated to reflect changing political, economic, and capital market environments. GEMS® can be used to stress test for extreme market events, and routinely models credit transitions, defaults, and recoveries in global corporate bond markets as well as the U.S. municipal bond market. These and many other considerations ensure that GEMS® is credible over different time horizons.

GEMS® is distinguished by its:

  • Ability to model asset prices and cash flows at the security level
  • Default-free interest rate models which produce fully integrated nominal and real term structures
  • Corporate and municipal bond credit models that permit the simulation of rating transitions, defaults, and recoveries
  • Inflation model that permits modeling of inflation derivatives and inflation linked bonds with embedded caps and floors
  • Fx model, which provides consistent intercompany behavior
  • Comprehensive interest rate, equity, inflation, and fx derivative modeling
  • Wide range of standard asset classes and market indices, along with rules that allow users to create customized asset classes
  • Best of breed market consistent fits to the widest range of data points across interest rate curves and derivatives, credit spread curves, equity options, and inflation linked derivatives
  • Realistic real world tail events
  • Flexibility and user customization
  • Transparency and access to a comprehensive documents library
  • Powerful built-in analytics and reporting
  • GEMS® can be used in conjunction with Investment Optimizer for sophisticated analyses of asset class returns across a wide range of asset classes. 
While GEMS® comes with a comprehensive set of parameterized asset classes that is unrivaled by other ESGs, additional asset classes can be readily added through built-in system functionality.

Real world scenario parameterizations are provided through our quarterly GEMS® Service. Additionally, a full range of calibration and target parameterization tools are offered for user customization of their own views of the economy within the cascade structure of the GEMS® models and for additional analysis such as stress testing.

GEMS® supports integrated economies and capital markets in North America, Europe, Asia, and Australia.

 

For more information about Conning’s risk modeling systems and advisory services, please contact us