• Risk neutral and real world scenarios

• Built on the world’s largest capital market model library

• Easy to use with a simple workflow and fast results

• Controlled production environment reduces operational risk

• View and customize all model and calibration settings

Numerix Economic Scenario Generator Transparency and Flexibility in an Easy-to-Use Application

®

NUMERIX ESG

Empowering our clients to meet the regulatory requirements set forth in Solvency II,

IFRS, GAAP, AG43 and C3 Phase 2, Numerix ESG is a sophisticated stochastic

simulation framework for producing risk neutral and real world economic scenarios.

Built on the world’s most comprehensive capital market model library, Numerix

CrossAsset, Numerix ESG provides complete flexibility and transparency to

view and customize all model and calibration settings, giving users full control

of scenario generation.

At the same time, Numerix ESG is easy to use, with a simple workflow and fast

results. And its controlled production environment reduces operational risk relative

to an uncontrolled environment such as Microsoft Excel.

Valuation

Regulatory Reporting & Capturing Hedging Strategies

Risk & Capital Forecasting

Better Risk Management

Numerix ESG

Numerix ESG: Advanced Models with Full Transparency

Numerix ESG provides insurers with the robust

scenarios they need to power downstream

applications such as economic and regulatory

capital calculations, liability pricing, hedge

projections, and statutory reserve calculations,

while satisfying regulators and stakeholders

within the company.

NUMERIX ESG CAPABILITIES

Numerix ESG enables users to:

• Generate risk neutral scenarios using a wide variety of industry-proven capital market models

• Calibrate risk neutral models using market data from any market economy and date

• Customize and import models from a comprehensive library of 40+ models across all major asset classes

• Create unified hybrid models that capture correlations among economies and asset classes

• Calibrate model parameters and risk premia to historical market data for real world scenarios

• Use real world-calibrated parameters in capital market models to generate real world scenarios

• Satisfy scenario criteria prescribed by regulators

View scenarios in a table or a graph, or export to Excel for use in other systems.

NUMERIX ESG BENEFITS

Transparency and flexibility

• Choose any desired model from 40+ industry-proven models

• View and customize all model and calibration settings

• Create custom indices and generate scenarios for them

• Incorporate risk premium assumptions for real world scenarios

• Integrate with any market data source

Ease of use and quick results

• Simple workflow to generate scenarios

• Calibrations optimized for rapid performance

• Distribute scenario generation job to a grid or cloud to achieve significantly faster performances

Comprehensive and advanced analytics

• Market-standard models for all major asset classes, including rates, equity, FX, credit, hybrids, inflation, commodity, volatility and life

• Industry-leading hybrid framework produces market consistent scenarios for instruments consisting of multiple underlyings

Consistency of models across the enterprise

• Export scenarios to other systems and different departments for use across the enterprise

• Model dynamics are consistent for both risk neutral and real world scenarios, providing consistency in a nested stochastic framework

View calibration results for each model

NUMERIX ESG FEATURES

• Unique hybrid model framework: specify component models and correlation; joint calibration process captures market dynamics of each risk factor

• Create, customize and import models in XML format from Leading Hedge Workbench into Numerix ESG

• Scripting language for custom indices: create user-defined indices (such as target volatility funds, 60/40 funds, etc.) and generate scenarios for them

• Create scenario shocks and bumps at a granular level, leading to greater precision in risk assessment

• Calibrate real world model parameters and risk premia to historical market data using Maximum Likelihood Estimation

• Add risk premia to a stochastic volatility model to enable real world-consistent simulations of the underlying and volatility paths

• Project real world interest rates: produce user-defined, future yield curves that match a forecast of interest rate behavior on average

• Scalable high performance computing: distribute calculations to an internal grid or cloud platform such as Microsoft Azure for large scenario sets

• Low-discrepancy (‘quasi’) random number generator: native variance reduction leads to fast convergence

• Data visualization: view 2D or 3D graphs of scenarios, Martingale tests, scenario percentiles and histograms, correlations, calibration results, volatility surfaces, and yield curves/shocks

• Audit trail: all scenario projections leave an audit trail in the database, recording all information needed

Validate realistic real world scenario behavior through percentile charts and histograms

THE NUMERIX DIFFERENCE

Discover why the world’s leading insurers and financial institutions use Numerix ESG:

Complete transparency and flexibility – not a “black box”

• Use CrossAsset workbench to select, customize and import models from a library of 40+ market-standard models into Numerix ESG, enabling maximum model control for power users

Scripting capabilities to create and generate scenarios for custom indices

• Empowers new product innovation and fast time-to-market for new product development

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

Consistency of risk neutral and real world models

• Model dynamics are consistent for both risk neutral and real world scenarios, providing model consistency in the outer and inner loops of a nested stochastic framework

Easy-to-use and powerful

• User-friendly interface is easy for non-actuarial staff to master, while actuaries and quantitative staff can “dig under the hood” to customize models, calibrations, indices, and scenarios shocks

Unique hybrid model framework allows users to select desired models based on underlyings, and use them as building blocks for the hybrid model

Copyright © 2014 Numerix LLC. All rights reserved. Numerix, the Numerix logo, and CrossAsset are either registered trademarks, or trademarks, of Numerix LLC in the United States and/or other countries.

SERVICES

INSURANCE SERVICES

Numerix provides a highly experienced global team of financial engineers and actuaries well-versed

in the complex regulatory, hedging and modeling issues that today’s insurance practitioners are

currently facing. From variable annuity (VA) and fixed indexed annuity (FIA) modeling to hedge

performance, economic scenario validation and regulatory reporting—our team of experts provides

the deep knowledge needed to address insurers’ needs.

ESG SERVICES

Our ESG Services involve taking the Numerix Economic Scenario Generator and implementing it—

using the right set of factors, the right set of data assumptions and the right set of model assumptions.

The ESG validation and best practices are then tailored by our team of actuaries and financial engineers

to meet the specific requirements of the customer.

Real World Calibration services are also available, to estimate model parameters and risk premia from

historical market data in order to generate real world scenarios.

NumerixTechnology Innovation

of the Year

Overall #1Technology Vendor

#1 in Pricing and Analytics:Cross-AssetCommoditiesCreditEquitiesForeign ExchangeRates

#1 in Risk Management:Market & Credit RiskCVA, DVA, FVA

#1 in Systems Implementation Efficiency & Support:Best Service Best Back-up

www.numerix.com

®

Numerix LLC

Corporate Headquarters

New York 99 Park Avenue 5th FloorNew York, NY 10016Tel: +1 212 302 2220

EMEA

London 41 Eastcheap, 2nd FloorLondon, UK EC3M 1DTTel: +44 20 7648 6100

Paris58 Bis rue de la Chaussée d’Antin75009 Paris, FranceTel: +33 1 53 25 03 35

FrankfurtAn der Welle 460322 Frankfurt am Main GermanyTel: +49 (0) 69 7593 8636

MilanVia Monte di Pieta’ 2120121 Milano, ItalyTel: +39 345 828 5440

StockholmBirger Jarlsgatan 2, 5 Floor114 34 Stockholm, SwedenTel: +46 (0)8 505 65 100

DubaiDubai Silcon Oasis HeadquartersBuilding Office D110P.O. Box 341122Dubai, UAETel: +971 (0) 4 372 4061

Asia

TokyoMarunouchi TrustTower Main, 20th Floor1-8-3 Marunouchi, Chiyoda-kuTokyo, Japan 100-0005 Tel: +81 3 5208 1130

Singapore8 Eu Tong Sen Street#24-85 The CentralSingapore 059818Tel: +65 6304 7982

Hong KongLevel 16Man Yee Building60-68 Des Voeux Road CentralCentral, Hong KongTel: +852 3796 2720

Mumbai401, 4th Floor, C-WingMarathon Innova, Lower ParelMumbai - 400013, IndiaTel: +91 22 2494 0131

SydneyLevel 34, 50 Bridge StreetSydney, NSW 2047Tel: +612 8216 0757

Americas

VancouverTwo Bentall Centre555 Burrard St., Ste. 375Box 222Vancouver, CanadaV7X 1M7Tel: +1 604 566 9655

Chicago30 South Wacker22nd FloorChicago, IL 60606Tel: +1 312 466 5708

San FranciscoOne Embarcadero CenterSuite 500San Francisco, CA 94111Tel: +1 415 773 2837

Sao Paulo - BrasilAvenida BrigadeiroFaria Lima, 37294 AndarSao Paulo04538905, BrasilTel: +5511 3443 7331

Seoul21F Seoul Finance Center84 Taepyeongro 1-gaJung-gu, Seoul Korea 100-768Tel: +82(0)2 3782 4930

Taipei11F., Walsin Xinyi Building1 Songzhi Road, Xinyi DistrictTaipei CityTaiwan, R.O.C. 110Tel: +886 2 8729 2172

BeijingUnit 1430 14F China World Office 1No. 1 Jianguomenwai Ave.Beijing 100004, ChinaTel: +86 10 6535 0156