Asset Liability Strategy Library

The Prophet Asset Liability Strategy (ALS) library enables firms to meet their stochastic ALM requirements and helps them to achieve a more complete understanding of their business. It is ideal for current and emerging risk-based regulatory environments such as those in Europe, North and South America, South Africa and China.

The ALS library provides a range of features for sophisticated modelling of the assets, liabilities and the related capital position of an insurance company, including management decisions and policyholder reactions. ALS provides insurers with a framework for performing stress testing and scenario analysis on their business, and lets companies create comprehensive models for regulatory and other reporting requirements. ALS is a flexible library with a wide functional and geographic scope, reflected in its extensive use worldwide.

Our Proxy Fitting library (both the Replicating Portfolio and the Risk Factor Polynomial constituents) works in conjunction with the ALS library to provide even faster production of management information.

Licensed by over 270 customer sites around the world, the ALS library is the comprehensive risk management library at the heart of the Prophet solution for Enterprise Risk Management (ERM).

FIS is pleased to announce that Release 2016 of the iWorks Prophet Asset Liability Strategy Library (ALS 2016) is now available. Enhancements in this release include:

  • Addition of support for Prophet’s Nested Structures feature
    • Perform nested stochastic and dynamic calculations
    • Embed one ALS model within another
  • Enhanced support for capital calculations
    • New risk modules feature uses Nested Structures to calculate capital requirements under different scenarios
    • Aggregate risk capital using correlation matrices
    • Report on cost of capital margin and minimum capital requirements
    • Additional stress tests
  • Enhanced support for US PBR and RBC C3P2 calculations, including use of Nested Structures for projecting balance sheets
  • Addition of exposure based trading

ALS 2016 is ideal for insurers building models to monitor, manage and report on the risks of their life, annuity, health and pensions business.  Please view the datasheet here.