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DFA Launches New Suite of Economic Modeling Tools

Three GEMS® Products Provide C-Suite Executives New Options to Simulate Future States of Financial Markets and the Economy

DFA Capital Management Inc. (DFA), the leading provider of Enterprise Risk Management solutions to the financial services and insurance industries, today announced the launch of its new GEMS® Product Suite, which will significantly enhance the ability of executives to simulate future economies and financial markets.

Leveraging its success with the underlying technology of GEMS, a state-of-the-art economic scenario generator (ESG), DFA has expanded its product line to include three new specialty GEMS products to meet different modeling needs: GEMS – Scenario Master, GEMS – Portfolio Analyzer, and GEMS – Enterprise Modeler.

GEMS® – Scenario Master

A general purpose ESG, GEMS – Scenario Master provides advanced modeling and estimation technology, and is the baseline product from which GEMS – Portfolio Analyzer and GEMS – Enterprise Modeler are built upon. GEMS – Scenario Master features best-in-class capabilities for modeling interest rates, inflation, corporate credit risk, equity markets, and foreign exchange. Additionally it provides the ability to model factors such as GDP and unemployment and includes asset aggregation at the individual security level.

Clients can also use GEMS – Scenario Master to meet Solvency II requirements, as well as for economic capital modeling, stochastic liability and capital valuation, product design, and market consistent embedded value calculations.

GEMS® – Portfolio Analyzer

For users who need to model multiple investment portfolios, GEMS – Portfolio Analyzer includes all the capabilities in GEMS – Scenario Master with added functionality to handle applications such as strategic/dynamic asset allocation, variable annuity hedging, pension management strategies, and risk attribution. Portfolio managers can take advantage of the rich set of financial instruments available in GEMS – Portfolio Manager such as floating rate notes, interest rate swaps, interest rate derivatives, inflation-linked derivatives, and equity derivatives for their modeling needs.

Additionally, GEMS – Portfolio Analyzer enables companies to model different trading strategies and is the only ESG on the market with the ability to model asset aggregation at the portfolio level.

GEMS® – Enterprise Modeler

As an ESG for whole company modeling, GEMS – Enterprise Modeler is the most comprehensive of the three new GEMS products. It includes all the functionality of GEMS – Portfolio Analyzer and adds capabilities for asset aggregation at the entity level as well as the ability to do investment and capital management within several accounting/regulatory regimes. GEMS – Enterprise Modeler can be used for many modeling applications such as multi-entity risk management, financing and accounting-driven decisions, risk diversification strategies, and reverse stress testing.

“The experience our clients had in using GEMS to successfully navigate through the economic turmoil of the last two years has provided validation that DFA’s approach to modeling economic data is the right one. Because the simulations modeled by GEMS include the full spectrum of possible economic events, executives gain greater visibility into all distributions of risk in managing their business,” said Lisa Cash, Executive Vice President, Sales and Marketing for DFA Capital Management Inc. “Our new GEMS product suite further extends our capabilities to fulfill needs for more accurate economic data for Asset Liability Management and Enterprise Risk Management, which were unmet by other ESGs during the financial crisis.”