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PFaroe Insurance

Increase risk-adjusted returns and deepen engagement with insurance clients, through a 360o view of investment risk

PFaroe Insurance Features

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
Mockup of PFaroe Insurance Dashboard with Value metrics
Mockup of PFaroe Insurance Dashboard with Assets metrics
Mockup of PFaroe Insurance Dashboard with Risk metrics
Mockup of PFaroe Insurance Dashboard with Analytic metrics

Awards

At the point when clients come first, awards follow​

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UK Office

+44 20 3314 2300

US Office

+1 646 947 1300

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