Asset Liability Manager

At Numerix, we understand the unique challenges facing ALM professionals in today's market and have developed solutions that allow them to effectively manage complex or bespoke securities.

Numerix analytics provide flexible deal-structuring capabilities that allow users to represent any financial instrument across all major asset classes — including hybrids. Users can then calculate fair value and sensitivities, and run a wide range of pricing scenarios that factor in economic, market and liquidity risk.

Key Benefits

• Enables consistent modeling and pricing policies across all business units
   
• Ability to fine-tune calibrations to accurately assess liability value and Greeks
   
• Monte Carlo simulations for capital testing, price discovery and fair value calculations
   
• Scenario analysis and portfolio attribution
   
• Hybrid-instrument modeling for advanced hedging strategies
   
• Hedging of market risk embedded in liability-based products such as variable annuities
   
• Active management of counterparty exposure with accurate PFE and CVA calculations

Enabling Consistent Modeling Practices Across the Enterprise

Striving for Model Consistency Across Business Units
As insurance-industry best practices evolve, more companies are realizing the need for a consistent capital market model framework for both liability and asset management groups — despite the fact that each side has very different system requirements.

Without consistent modeling, the effectiveness of hedging strategies may be diminished: the liability group uses one model to produce the Greeks, while the asset manager uses a different model to value the assets that are hedging these liabilities. Using Numerix’s comprehensive library of models and methods, companies can institute a consistent pricing framework across all areas of their business, enhancing the effectiveness of hedges.

Numerix also enables managers to proactively manage counterparty exposure using PFE and CVA calculations that are based on the same models used to price the assets — once again, ensuring consistent valuations for both the hedge and the asset.

Insurance-Specific Functionality in Numerix Portfolio
Numerix Portfolio, our trade-capture and portfolio management solution, contains features designed specifically for insurance companies:

• Capital management, pricing and hedging for insurance companies
• Variable-annuity hedging strategies
• Performance/attribution analysis
• Enhanced scenario analysis
• New support for hybrid deals, including reinsurance transactions

Numerix Solutions for Insurers
Whether you need a solution for a single asset class or an enterprise system, Numerix offers a host of options to meet your specific needs.

Numerix analytics are accessible via Excel, dedicated Windows applications, or through integrated solutions for legacy and third-party systems, including many of the world's most popular trading and risk platforms. We also offer a variety of consulting and valuation services to support your operations.