Economic Scenario Generator

Conning’s GEMS® Economic Scenario Generator provides advanced modeling, simulation, and calibration capabilities for the entire range of real-world and risk-neutral applications. GEMS® has consistently delivered robust estimates of the future state of global financial markets, even through multiple economic crises. With model delivery now available on the second calendar day of each quarter, users can meet previously unattainable reporting deadlines while using some of most technologically advanced risk models in the industry.

Real-World Scenarios

  • Benefit from T+2nd calendar-day delivery of the fully calibrated GEMS® Expert View Parameterization for real world.

  • Simulated distributions based on a well-defined and fully documented process for target setting, with parameter stability as a built-in design criterion.

  • Suitable for multiple applications, including capital modeling (e.g., Solvency II and RBC), strategic asset allocation (SAA), climate scenario analysis, and general risk management.
Real-World Scenarios

Market Consistent Scenarios

  • Consistent models and software platform for both real-world and risk-neutral calibration and simulation.

  • Calibrate market prices or implied volatility of options across swap rates, swaptions, inflation swaps, inflation caps and floors, credit spreads, and equity derivatives.

  • Get up and running quickly by using the calibration and simulation software in-house or benefit from Conning’s fully managed calibration services.  



Asset Class Coverage

  • Full range of asset classes, including nominal and real interest rates, equity returns, corporate credit, sovereign credit, municipal bonds, mortgage-backed securities, real estate, and many alternative investments.

  • Widest range of security and derivative types modeled natively, including government bonds, floating-rate notes, inflation-linked bonds, and derivatives on interest rates, inflation, equity markets, and foreign exchange.

  • For non-standard risk exposures, inbuilt frameworks exist for modeling user-defined asset classes at different levels of sophistication.

Market Consistent Scenarios

Economic Scenario Generators: A Practical Guide

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.

A User’s Guide to Economic Scenario Generation in Property/Casualty Insurance

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.

Platform and Technology

  • GEMS scenarios can be generated via desktop software, cloud-based simulation, SaaS, or flat file delivery.

  • Fast, accurate, user-friendly tools for recalibrating interest rates, credit, inflation, equity returns, foreign exchange, and simulated correlations to a user’s own views of future risk and reward.

  • The Risk Neutral Automation Tool enables streamlined calibration of user-defined stresses for regulatory reporting and IFRS17 applications.


Service and Support

  • Experienced client support team to help you get up and running quickly.

  • Extensive documentation of models, software, and parameterization processes.

  • Regularly scheduled software updates incorporating the latest features.

Platform and Technology