Conning’s Risk Management Software Extends Its User Calibration Capabilities During the Current Era of Market Distortions

September 27, 2016

Conning’s Risk Management Software Extends Its User Calibration Capabilities During the Current Era of Market Distortions

Version 6.6 provides unique benefits to calibrate credit spreads and sovereign yields  

HARTFORD, CT – September 27, 2016 – Conning, a leading global investment management firm and financial risk modeling software company, today announced the release of Version 6.6 of its suite of risk management software products, including the ADVISE® Enterprise Risk Modeler, FIRM® Portfolio Analyzer, and GEMS® Economic Scenario Generator (ESG).

This latest version demonstrates Conning’s commitment to continuously expanding its enterprise risk management software solutions and advisory services for investment risk, economic capital, and other risk modeling applications.

Version 6.6 includes a new model of sovereign contagion risk, meaning that the propagation of crises between different bond issuers is realistically reflected in the ESG. The new version also expands on Conning’s unrivaled “User Views” functionality with additional models and capabilities being added to the Real-World Recalibration Tool. Headlining these enhancements is the introduction of calibration for corporate credit spreads by rating class, municipal bond spreads and sovereign yields with credit risk, as well as functionality for directly setting the correlation between some key variables. Clients continue to have the capability to calibrate to tenor-specific targets and a wide choice of levels, moments, and statistics across multiple time horizons.

“The need for risk managers to confidently and reliably calibrate our software’s increasingly sophisticated economic models has been broadening and shows no sign of easing up,” said Dr. Hal Pedersen, a Director, Risk Solutions for Conning. “With insurers coping with risks that we have not seen before, the release of Version 6.6 addresses a critical area of risk management modeling.”

Other notable enhancements in the release include the introduction of Normal swaption volatilities within Risk-Neutral calibrations, complemented by an enhanced optimization algorithm that provides users with a much faster calibration time.

All of the new features in Version 6.6 are accessible in an automated setting via the Conning command-line interface. “We always view modelling, and calibration in particular, through the prism of automation, and look to advance on these fronts simultaneously,” said Dan MacKenzie, Managing Director of Software Product Management for Conning. “Risk management modeling continues to grow in both in scope and frequency, making it increasingly important to have applications that can be updated and processed reliably and efficiently.”


Conning ( is a leading global investment management firm with a long history of serving the insurance industry. Conning supports institutional investors, including pension plans, with investment solutions and asset management offerings, award-winning risk modeling software, and industry research. Founded in 1912, Conning has offices in Boston, Cologne, Hartford, Hong Kong, London, New York, and Tokyo.

 About Conning’s Risk Management Software 

Conning’s risk management software platform includes GEMS® Economic Scenario Generator, FIRM® Portfolio Analyzer, and ADVISE® Enterprise Risk Modeler, offering greater accuracy in financial risk modeling and providing deeper insights for decision making, regulatory and rating agency compliance, and capital allocation. In addition, the Investment Optimizer module works seamlessly within GEMS®, FIRM® and ADVISE® to perform effective strategic asset allocation analyses and identify optimal investment strategies. 

Conning, Inc., Goodwin Capital Advisers, Inc., Conning Investment Products, Inc., a FINRA-registered broker dealer, Conning Asset Management Limited, and Conning Asia Pacific Limited are all direct or indirect subsidiaries of Conning Holdings Limited (collectively, “Conning”) which is one of the family of companies owned by Cathay Financial Holding Co., Ltd., a Taiwan-based company. 

GEMS®, FIRM® and ADVISE® are registered trademarks of Conning, Inc. Copyright 1999 - 2016 Conning, Inc. All Rights Reserved. GEMS®, FIRM® and ADVISE® are proprietary software published and owned by Conning, Inc. C#:4969870