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PFaroe Suite

PFaroe Insurance

PFaroe Insurance enables investment managers to deliver impressive and engaging pitches based on analysis of an insurer’s current investment portfolio, financial objectives and risk profile.

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PFaroe Insurance Features

Strategy Comparison

Base investment decisions on a holistic view of balance sheet risks

  • Compare risk and return across wide range of different investment strategies or asset allocations
  • Upload strategies by file, or create your own through the user interface
  • Wide range of available metrics: economic, accounting, capital, liquidity
  • Compare strategies across different valuation bases: economic, statutory, GAAP
  • Scripting capability allows output of custom metrics
  • Analysis based on Moody’s Analytics stochastic economic scenario model

Balance Sheet Projection

  • Multi-period projection of assets and liabilities using Moody’s economic scenario modelling framework
  • Stochastic scenarios support multi-period projection and risk analysis
  • Asset and liability cashflows are modelled, allowing detailed analysis of liquidity
  • Projection on different bases: economic, statutory accounting
  • Capital model configurable to most capital regimes
  • Flexible strategy management, re-investment and rebalancing options, realistic multi-period projection of portfolios and balance sheet risks

Custom asset modelling

  • Embed custom assets, funds
  • Include alternative private market assets, both debt and equity
  • Leverage Moody’s Analytics documented economic and capital market assumptions, or embed your own
  • Flexible strategy management, rebalancing assumptions

VaR attribution

  • Generate value at risk (VaR) and attribute by macroeconomic risk factor (interest rates, inflation, equity, etc.)​
  • Drill into individual risk factors and view the full distribution and summary statistics
  • Underpin the forecast with Moody’s Analytics powerful economic scenario model or input your own

Balance sheet stress testing

  • Calculate the balance sheet risk and return trade-offs by testing different investment strategies with custom assets and mandates

What If Analysis

  • Understand impact of changes to investment strategy, across wide range of insurance risk metrics
  • Analysis of risk exposures: yield curve, inflation, credit
  • Upload strategies by file, or create your own through the user interface
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