overview

Advanced ESG Models -
With Full Transparency & Control 

Numerix Economic Scenario Generator is a sophisticated stochastic simulation framework for producing risk neutral and real world economic scenarios. Using 40+ industry-proven capital market models across all asset classes, including advanced models like Libor Market Model (LMM), Bates, and Credit Transition Models (CTM), ESG empowers our clients to meet the regulatory and accounting requirements set forth in Solvency II, IFRS, GAAP, and US statutory reporting. 

Numerix Economic Scenario Generator is a sophisticated stochastic simulation framework for producing risk neutral and real world economic scenarios, empowering our clients to meet the regulatory requirements set forth in Solvency II, IFRS, GAAP, AG43 and C3 Phase 2. - See more at: https://www.numerix.com/product/numerix-esg#sthash.cXCDG6E4.dpufNumerix Economic Scenario Generator is a sophisticated stochastic simulation framework for producing risk neutral and real world economic scenarios, empowering our clients to meet the regulatory requirements set forth in Solvency II, IFRS, GAAP, AG43 and C3 Phase 2. - See more at: https://www.numerix.com/product/numerix-esg#sthash.cXCDG6E4.dpuf
capabilities

Putting You in Control 
of Your Scenario Generation 

Built on the world’s most comprehensive capital market model library, Numerix Economic Scenario Generator provides complete flexibility and transparency to view and customize all model and calibration settings, giving users full control of scenario generation.

Complete transparency and flexibility 

LEARN MORE

Accessible via multiple APIs

LEARN MORE

Integrated with derivative analytics 

LEARN MORE

Unique hybrid model framework

LEARN MORE

Scripting capabilities for custom indices 

LEARN MORE

 

Numerix ESG is also available as a managed service with Numerix responsible for calibrating and documenting the ESG on required reporting dates. Clients can access the Numerix scenarios in the cloud, or the scenarios can be delivered directly to you as a service. 

Benefits & Features

Complete transparency and flexibility 

Select and customize models from a library of market-standard models, plus utilize advanced model calibration tools, enabling maximum model control for power users.

  • View and customize all model and calibration settings
  • Calibrate risk neutral models using market data from any market economy and date
  • Calibrate model parameters and risk premia to historical market data for real world scenarios
  • Incorporate forward looking forecasts/internal views for real world scenarios
  • Satisfy scenario criteria prescribed by regulators

Accessible via multiple APIs

Consumable from a variety of APIs including Excel, C++, C#, Java, MATLAB, and Python, enabling you to deeply embed the ESG within other solutions or business processes, and automate workflows involving ESGs.

  • Scenarios can be exported to other systems and different departments for use across the enterprise. 

Integrated with derivative analytics

Seamlessly integrated with Numerix’s market-leading derivative analytics, enabling Numerix ESG to be used as part of larger applications and solutions instead of just a standalone set of scenarios.

  • Integrate with any market data source and view underlying market data and assumptions

Unique hybrid model framework 

Most robust hybrid model in the industry, enabling accurate pricing and Greek calculations for products consisting of multiple underlyings from different asset classes. 

  • Create unified hybrid models that capture correlations among economies and asset classes, as well as capturing market dynamics of each risk factor
  • Models are jointly calibrated to properly account for stochastic rates and redetermination of volatilities

Scripting capabilities for custom indices

Empowers new product innovation and dramatically faster time-to-market for new product development.

Additional Resources
Product Collateral
Numerix ESG Brochure: Advance ESG Models With Full Transparency & Control

Contact Sales