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AXIS Module - HEDGE PROJECTION

The Hedge Projection Module allows you to simulate and project a variety of dynamic hedging strategies designed to mitigate the risks of VA and Seg Fund guarantees, analyze the costs and benefits of strategies using stochastic analysis and evaluate their effectiveness. You can use this module to support pricing, valuation and projection applications incorporating all risks, building on existing AXIS annuity models.

The Hedge Projection Module provides several extensions to existing AXIS functionality that are specific to hedge simulation and analysis, including:

  • A built-in Asset Pricing Module which provides a user-customizable paradigm for pricing the associated option risks in hedge assets and annuity guarantees and thus for calculating the common Greeks associated with these risks, including Delta, Gamma, Vega and Rho, at the current date and along a projection path.
  • Risk Neutral Economic Scenario Generators feeding an expanded Economic Scenario with multiple markets and volatility surface inputs as required for the option risk pricing.
  • A parameter driven Hedging Strategy object that supports Greek matching strategies, and automatically solves for the required balance of complex hedge assets to meet strategy objectives.
  • Reporting options that capture the calculated risk metrics along a projection path before and after hedge rebalancing, and which track the actual hedge asset transactions resulting from the chosen strategy.

For further information, please refer to Hedge Projection Module.

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