Numerix, the leading provider of cross-asset analytics for derivatives valuations and risk management, today announced that Transamerica, a member of the AEGON Group has adopted new, and innovative insurance risk management technology for future valuations and scenario generation.
The ability to project Future Greeks for liabilities supports calculating future hedge performance in financial reports.
Already an established user of the Numerix CrossAsset pricing and risk engine and Numerix Leading Hedge insurance solution, Numerix provides Transamerica with a scalable, modern infrastructure for Variable Annuity (VA) liability valuation and hedging. With an advanced model library at the core of all Numerix analytics, CrossAsset and Leading Hedge work together seamlessly to provide a common foundation for pricing and risk management within a fully automated production environment.
Evolution of Numerix Leading Hedge: Future Valuation and Scenario Generation
The latest version of Numerix Leading Hedge enables the calculation of Future Greeks on Transamerica's portfolio of over 230,000 variable annuity policies using sophisticated nested stochastic functionality. With Future Greeks deployed, Leading Hedge produces about 1 billion Greeks by caching instances of Hybrid models on grid engines, enabling hedge income projections using prescribed real world scenarios on the outer loop and market consistent, risk neutral scenarios generated dynamically on the inner loops.
As part of a continual improvement program, Transamerica chose to increase the number of risk neutral paths on the inner loop by 6x, while still reducing the run time. "This new module enabled Transamerica to reduce end-to-end run time from 40 hours to 6 hours while improving modeling precision. In addition, Leading Hedge is setting the stage for additional uses for nested stochastic projections," said Hunt Blatz, Vice President and Head of Model development at Transamerica Investments & Retirement.
Leading Hedge's Future Greeks module provides Transamerica with a number of benefits, including reduced operational risk, reduced run time, increased precision, and scalability for future growth of the business.
"Because of the breadth andnd depth of its model library – Numerix is able to solve problems and present solutions the competition can't because they don't offer a complete, consistent solution. Transamerica is benefitting from Numerix's single analytics platform where all outputs are globally consistent," said Steven R. O'Hanlon, Chief Executive Officer & President of Numerix. "With initial goals and benchmarks met, Numerix and Transamerica will continue to work together to accomplish several additional initiatives in future stages of its relationship."