Property & Casualty Economic
Scenario Generator

The Property & Casualty Economic Scenario Generator (ESG) contains
stochastic asset models and calibration content for the evolutionof various economic and financial market variables. The Property& Casualty ESG is a critical input into capital models, investment
processes, and claims modeling. It allows insurers, asset managers andinstitutional advisors to undertake a wide range of risk management andasset-liability modeling (ALM) activities.
Leverage real-world scenarios with comprehensive documentation» Provide real-world, multi-year scenarios for asset returns and risk factors. These scenarios
can be for short-term horizons such as 1-5 years, or for 50 years or longer.
» Investigate the impact of tailored investment strategies on portfolio risk and return
characteristics with flexible rebalancing rules and trading strategies.

» Perform capital modeling and risk management using our models and calibration methods
that suitably capture tail risks over 1 year horizons (such as the 99.5th percentile).
» Model current and future claims experience with the integrated macro-economic modelingframework.
» Access a comprehensive calibration service covering a wide range of economies and asset
classes produced by our team of economists and calibration experts.
» Gain a flexible calibration toolkit allowing users to impose their own views on asset return
behavior and risk factor distributions, and perform stress testing analysis on their portfolio.
» Get comprehensive documentation of all models and calibrations. The document
categories are: calibration reports, model methods, calibration methods, assumption
updates, policy and compliance documents.

Explain balance sheet changes and identify risks by decomposing overall risk into component parts.

MOODY'S ANALYTICS | PROPERTY & CASUALTY ECONOMIC SCENARIO GENERATOR

Easily and intuitively model a wide range of assets» Quantify risk and capital with a model structure that captures realistic distributions for asset
returns and risk metrics, tail risk and interdependency between risk drivers.
» Streamline the capital management process, allowing more accurate and frequent
capital reporting.
» Perform analysis of stress scenarios and run a range of investment strategies to learn how tooptimize capital requirements.
» Improve your investment analysis with enhanced modeling capabilities covering a wide rangeof assets consistent with those held by P&C insurers, including bonds, structured products,
alternative assets, derivatives and multi-asset portfolios.
» Perform more detailed investment strategy analysis with a portfolio framework incorporating
liabilities and different accounting conventions without requiring access to detailed actuarialmodels.
» Increase consistency across the business by using the same solution for capital andinvestment analysis, modeling economic risk factors, asset returns and macro-economic
variables with one solution.
» Benefit from an ongoing and extensive R&D program which continually reviews and updates
our models and methods as new techniques become available.
» Provides an easy-to-use standard Windows interface that allows models to be built intuitively.

Compare narrative stress scenarios.

MOODY'S ANALYTICS | PROPERTY & CASUALTY ECONOMIC SCENARIO GENERATORCONTACT US
Find out more information about Moody’s Analytics award
winning products and solutions.

www.moodysanalytics.com/contact-us

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