Numerix Leading Hedge Insurance Solution Enhanced for Breakthrough Performance Optimization

New York - 21 May 2013

Numerix Dramatically Reduces Calculation Time for Insurance Solvency Regulations

Numerix, the leading provider of cross-asset analytics for derivatives valuations and risk management today announced new functionality and innovation now available in Numerix Leading Hedge, an enterprise solution for the risk management, product design, pricing, scenario generation and hedging of large blocks of Insurance guarantees. As more sophisticated capital market modeling frameworks are now required from a product design standpoint – and within hedging and risk platforms, Numerix’s cross-asset technology provides a single unified platform for the most basic to exotic product designs including all types of Variable Annuities, Equity Index Annuities and hedging instruments.

The newly introduced Numerix Simulation Pricer provides breakthrough performance optimization, achieving sub-second pricing; dramatically reducing calculation time. In leveraging the strength of the CrossAsset stochastic modeling framework, Numerix’s unique scriplet technology provides full control, flexibility and transparency on the liability cash flow logic allowing clients to innovate through unique and customized product designs. In leveraging this technology, the scripting environment can be pre-complied into a Dynamic Link Library (DLL) where only the DLL is called during runs. With pre-compiled lines of Script logic from a single source, no further interpretation of the script is required making pricing easier and exponentially faster.

“Already recognized for its industry leading cross-asset model library and transparent deal definitions, Numerix Leading Hedge is a production platform rooted in capital markets expertise for end-to-end risk management and the hedging of life and annuity products,” said Steven R. O’Hanlon, Chief Executive Officer & President of Numerix. “With the Leading Hedge Suite, users not only have the tools for product design, hedging and better risk management but also the flexibly to build their own sophisticated internal models for analyzing risk. New products can also be quickly introduced into the system without the burden of consulting costs, and that independence is extremely important – and often undervalued.”

Ghali Boukfaoui, Vice President & Insurance Product Manager at Numerix continues: “What we’ve done is decouple the complexity of scenario generation from the cash flow logic and actuarial projection, and introduce a unique library of functions where clients can decompose policy terms into script. Then, at a high level users can pull script per policy to achieve faster time-to-market, while greatly reducing the operational risks associated with native coding. By avoiding the interpretation of the script during projection, the logic becomes a faster calculation that enables the tracking and optimization of capital in near real-time – helping clients better utilize resources as the market moves. More educated hedge strategy decisions are also possible as risks are better understood, managed and monitored intraday, in a scalable framework across the entire enterprise.”

Numerix Leading Hedge also features new capabilities for Attribution reporting and Multi-index hedging. The Attribution reporting functionality allows users to breakdown their risk profile utilizing synthetic market environments, to determine how various risk factors impact asset and liability prices and to explain fluctuations to C-level executives and regulators. The Multi-index hedging functionality provides delta and gamma by equity index, as well as cross-deltas and total deltas and gammas, to enable more accurate hedging of investment linked products through the capture of cross effects.

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