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SOFTWARE PRODUCTS

The firm's innovative products set a new standard for ERM software solutions. The four products that comprise this comprehensive toolset include the industry's first risk-based business decision analysis tool as well as the first stress economic capital model - which can accurately incorporate the impact or the rare (black swan) events. These tools can be used by practitioners across all industries including: banking & finance, construction, manufacturing and transportation, etc. They are the only tools that can combine hard data, soft data and expert opinion in an objective, transparent and theoretically valid manner. As a result they transform risk management from a compliance exercise into a process that legitimately supports (ex ante) risk based decision analysis. Our products are based on actuarial science theory - which has been used by the insurance industry for decades, however, our advanced toolset follows an entirely new application of this theory.

Key features include:

A methodology for measuring risk that specifically incorporates the contribution to risk from the rare (black swan) events. This represents a major advantage over all other risk models which systematically underestimate risk because they cannot accurately incorporate the impact of the tail in a theoretically valid manner.
A robust method for conducting risk-based decision analysis, based on the “total cost of risk” approach. This allows practitioners to accurately calculate risk-adjusted profitability. The increased transparency therefore reduces the potential for “risk-reward arbitrage” and mitigates “principal-agent risk.”
A highly intuitive methodology. The overall approach and the meaning of the output can be explained to non-technical personnel without resorting to complex language. As a result, most senior executives, C-level staff and boards of directors can validate the business assumptions underlying their companies’ risk models.
The first set of products that can model economic capital for all risks across the enterprise under a uniform approach.
An ultra high-speed Monte Carlo simulation engine, which can support real-time decision making.

ABOUT OUR PRODUCTS

Business Decision Analyzer

The Business Decision Analyzer (BDA) is the industry's first risk management tool designed for the senior executive. It enables CEOs, CFOs and other C-level officers to make more informed risk-based strategic decisions. Specifically, it allows executives to conduct risk-reward, risk-control and risk-transfer optimization in the context of cost-benefit analysis at the risk tolerance level of the stakeholders. This highly intuitive and user-friendly tool requires virtually no prior knowledge of mathematics or statistics.

The BDA can be used to analyze the feasibility of new business opportunities, as well as investments in risk mitigation and risk transfer (insurance). Its many unique features include the ability to incorporate hard data, soft data and/or expert opinion (scenario data) – or any combination of the three – into the risk analysis process.

The BDA also includes an ultra-high speed Monte Carlo simulation engine which can produce virtually instantaneous results. This "immediate feedback" has proven to be very useful in "what-if/ scenario analysis."

Stress EC Assessor

The Stress Economic Capital Assessor (Stress EC Assessor) allows senior executives to measure exposure to market, credit, operational and other risks – on a stressed basis. It is perhaps the only risk modeling tool that allows one to use data across multiple economic cycles – in an objective, transparent and theoretically valid manner. It is also perhaps the only economic capital modeling tool that can be used to conduct practical "what if" scenario analysis, where the stress scenarios are described in terms of both frequency and severity.

The Stress EC Assessor helps an executive answer many important questions. Examples: What is the probability that our investment portfolio will lose more than 25% of its value in any ten-day period over the next five years? Suppose a 20%+ one-day decline in stock prices occurs on average once every fifteen years, what does that imply about the firm's true 99% level exposure on an annualized basis?

This highly intuitive and user-friendly tool is ideal for senior executives and requires virtually no prior knowledge of mathematics or statistics. In fact, the Stress EC Assessor helps C-level executives and corporate board officers better understand how risk models work (and why they sometimes don't work) as well as the business assumptions upon which their own firm's risk models are based.

Model Validator

The Model Validator allows an analyst to validate the core assumptions underlying a property-casualty actuarial model. Specifically, it enables users to empirically validate many complex actuarial modeling concepts in a "controlled environment." Examples: How sensitive are model results to changes in the data collection threshold? What is the impact of a severity cap? Is it theoretically valid to separately fit frequency and severity distributions when the data are heterogeneous? Are some frequency/severity distributions universally better or worse than others? How reliable are the standard goodness-of-fit tests and how useful is graphical analysis? How can one combine data from different sources (e.g., internal, external and scenario data) in a practical and theoretically valid manner? How does severity fitting using maximum likelihood estimation (MLE) compare to frequency and severity fitting under the ALEC fitting method?

OpRisk Modeler

The OpRisk Modeler is the industry's most advanced tool for modeling operational risk. It allows a user to model operational risk under a loss distributions approach (LDA) and/or a scenario approach. The tool offers a comprehensive set of features including loss scaling and severity fitting through MLE. It also supports advanced graphical analysis. The OpRisk Modeler is unique in many ways. It is the only operational risk modeling tool that offers functionality to simultaneously fit frequency and severity through the ALEC method. It is also perhaps the only such tool that allows the user to combine information from internal, external and scenario data in an objective, transparent and theoretically valid manner. The OpRisk Modeler also includes an ultra-high speed Monte Carlo simulation engine which allows users to calculate Value at Risk (VaR) and Conditional Tail Expectation (Tail VaR) under different correlation assumptions, with or without insurance.