January 15, 2018
Conning Wins InsuranceERM Award for Best Stress Testing and Scenario Solution
Conning is pleased to announce that its GEMS® Stress Test Scenario package has been named Best Stress Testing and Scenario Solution of 2017 at the InsuranceERM awards. The GEMS® Stress Test Scenario Package recreates a range of significant adverse economic events from the last 100 years, including The Great Depression, Black Monday, and the 2008 Financial Crisis, and their impacts across multiple economies. Stress testing has long been a valuable tool for risk management, and stress tests that use historical events as their basis have their own particular benefits to the actuary and Chief Risk Officer. Since such scenarios are a matter of past experience rather than a hypothetical situation, they can be a powerful illustrative tool to communicate risk to non-practitioners such as senior management and regulators. Historical scenarios can also be used to validate a stochastic model by showing whether extreme but historically demonstrated events lie within or outside of the bounds of the current stochastic results.
The historical scenarios in the GEMS® Stress Test Scenario package were created using the framework of Conning’s state-of-the-art GEMS® Economic Scenario Generator, featuring its detailed correlations between financial variables and decades of market data in its calibration. The project also required deep market knowledge, modeling experience, and expert judgment to resolve such questions as the identification of the events that marked the beginning of a financial crisis, the determination of the length of the crisis, and the adaptation of the conditions of a past event to today’s market.
Conning is delighted to receive this award and be recognized for our commitment to ongoing risk management research and development. Please see our GEMS® Stress Test Scenario product sheet for more detailed information on the creation of the scenarios and the value they bring to the communication of risk within our clients’ organizations.