France's leading life insurer, CNP Assurances, has selected Numerix's economic scenario generator (ESG) for its derivatives and liabilities pricing.
Built on a comprehensive capital market model library, Numerix CrossAsset, Numerix ESG is a stochastic simulation framework for producing risk-neutral and real-world economic scenarios within a consistent modelling environment.
Numerix said that CNP Assurances needs these scenarios to understand better modelling assumptions for fund allocation strategies and for asset/liability management (ALM).
"The flexibility of Numerix models and transparency that comes with the ability to view and customise all model and calibration settings was central to our interest for Numerix ESG," said Jean-Philippe Medecin, head of ALM, investment division at CNP Assurances.
"With a unified modelling framework for risk-neutral and real-world scenarios, we're able to power applications with robust, consistent scenarios for our ALM model." He added that CNP Assurances would use the scenarios for benchmarking and for "our ALM studies."
Steven O'Hanlon, CEO and president of New York-headquartered Numerix, explained that the risk-neutral scenarios would be used for pricing and hedging, and the real-world scenarios for projecting forward liabilities for capital and reserving requirements. "Users can build out a nested stochastic framework that's not only consistent and defensible, but optimised for computational run time."
CNP Assurances, France's leading personal insurer, is listed on the Paris Stock Exchange. Its major shareholders are Caisse des Dépôts, La Banque Postale, Groupe BPCE and the French state.
