RiskAgility PM brings together best practice from our extensive work across the insurance industry, as well as our wide ranging experience of consulting, developing and using proxy models for capital modelling and asset-liability modelling (ALM) purposes to standardise and automate all stages of the proxy modelling process, reducing the manual effort in what can otherwise be a resource intensive process.
Proxy modelling has become a core component of a life capital model, having applications for the Internal Model, ORSA and enterprise risk management (ERM) frameworks in addition to ALM, capital projections and asset allocations. RiskAgility PM brings together in a single application the proxy modelling process covering selection of stresses, production of scenario files, regression to identify a proxy model and validation of the robustness of the model.
- Automates the choice of stresses
- Undertakes both Curve Fitting and Least Squares Monte Carlo (LSMC) modelling for stochastic models
- Automates the generation and validation of economic scenario generator (ESG) scenarios for stochastic models, even with third party ESGs
- Validates the proxy model fitting
- Provides flexibility to integrate with and improve your existing capital model process