cFrame – financial modeling framework for MATLAB®

Model IT cFrame turns MATLAB® into a complete risk and actuarial analysis solution.

Model IT cFrame is used for

InsuranceBanking
Liability modelling (pricing, reserving)Market risk analysis
Capital calculations (SII SCR, EC)VaR and CVaR calculation and attribution
Balance sheet projectionsStress testing
ALM planning
Stress testing

Key benefits

  • MATLAB® : Ability to use MATLAB environment for all analysis
  • Speed: Complete complex analyses in minutes or seconds instead of waiting for hours or days for results.
  • Interactivity: Graphically drill into results for better understanding of the risks in the balance sheet.
  • Flexibility: Model any financial product with the cFrame definition language.

Latest technologies

  • Multi-Step Least Squares Monte Carlo with time-decomposition for accurate analysis of complex insurance liabilities.
  • Full valuation of standard financial instruments including equity, fixed income and commodity derivatives
  • Policy-by-Policy simulation of insurance liabilities

cFrame is complete financial modelling framework for insurance companies and financial institutions. cFrame supports modeling full balance sheets of insurance companies with modern methodologies: liability modelling with high speed policy-by-policy simulations and proxy modelling based on Least Squares Monte Carlo (LSMC). For asset portfolios cFrame has a library for instrument level valuations.

cFrame’s interactive user interface enables instantaneous what-if analysis, stress testing and risk analysis. Analysis includes simulation and stress testing of solvency capital, economic capital and any user defined company balance sheet items. cFrame use-cases include for example Solvency II (SII), ORSA, LDI and ALM.

cFrame includes Economic Scenario Generator (ESG) for both Real World Scenarios and Market Consistent Scenarios.

cFrame is based on MathWorks MATLAB®.

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