Scenario Generation

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The ALM Optimizer

Product Features and Tour

This software will facilitate your solutions to the following topics and questions.

Scenario Generation Module

Portfolio Comparisons

How does the performance of my benchmark portfolios compare with the performance of my optimized portfolios?

Effect of Random Interest Rates

What can I expect year by year from my portfolios when interest rates change?

Stress Testing

How do the efficient portfolios perform if the risk premiums and starting interest rate change?

What can I expect year by year from my portfolios under stress?

Are the results of my scenario generation sensitive to the number of scenarios, the horizon, or the random number seed?

What is the worst and best scenario for any portfolio?

What are the values of the tail returns?

Inputs

Scenario Generation Input

Inputs are either directly entered, importable, or pasteable from Excel® and are editable on screen

Previous projects are importable in whole or in part with a button click

Outputs

Annual Return

Portfolio Attributes

Portfolio

Raw scenario data are output for the user's added analysis.