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Numerix ESG

ESG Software support

Empowering our clients to meet the regulatory requirements, Numerix ESG is a sophisticated stochastic simulation framework for producing risk neutral and real world economic scenarios. Numerix ESG can select multiple models by asset and is able to develop hybrid model with a simple workflow and web-based interface.

Numerix ESG will generate multiple scenarios (Monte Carlo Paths) reflecting the risk factors tied to one or multiple Currencies.

Risk-neutral Model

  • - Customize and import models from a comprehensive library of 40+ practical models across all major asset classes
  • - Calibrate model variables from any type of market data
  • - Specify component models and correlation; joint calibration process captures market dynamics of each risk factor

Real World Model

  • - 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
  • - Produce user-defined, future yield curves that match a forecast of interest rate behavior on average

Market Data

  • Calibrate automated market data loading from any market economy and date

Model Compatibility

  • - Satisfy model criteria prescribed by regulators
  • - Low-discrepancy ('quasi') random number generator native variance reduction leads to fast convergence

Custom Asset Scenario

  • Scripting language for custom indices create user-defined and complex indices and generate models for them

Stress Scenario

  • Stress Scenario generating feature

Other Features

  • - Data visualization: view 2D or 3D graphs of scenarios, Martingale tests, scenario percentiles and histograms, correlations, calibration results, volatility
      surfaces, and yield curves/shocks
  • - Create, customize and import models and scenarios in various formats
  • - All scenario projections leave an audit trail in the database, recording all information needed