cFrame – financial modeling framework for MATLAB®

Our vision has been to create a framework that adapts all needs of financial modeling. With cFrame, you can create any model from ad hoc stress test to enterprise risk solutions faster than ever before. All models run at high speed and respond to your touch or click in a blink.

Customer cases

  • Multi-asset performance analysis of large Pension Fund

  • Valuation of Life Insurance Liabilities with embedded options and guarantees

  • Daily monitoring of hedging life insurance liabilities

  • Proxy modeling of life insurance liabilities for ALM, risk analysis and stress testing

  • Market Risk management in commercial bank

  • Performance analysis and client reporting of asset management portfolios

cFrame use cases

Stress testing

Complete ad hoc and regulatory stresses of complex balance sheets in seconds

  • Calculate stresses with automated reporting or interactive touch controls
  • Measure the effect from and instrument and maturity level to group solvency
  • Include both market and non-market factors in stress tests

Portfolio Optimization

Find optimal liability replication strategies and plan asset allocation

  • Optimize simultaneously investment allocation and derivative overlay
  • Include full dynamics of complex liabilities
  • Use customizable risk and return metrics with non-normal distributions

Risk analytics

Plan hedging activities and measure risk positions of complex balance sheets

  • Attribute risk metrics to instruments, risk factors and maturities
  • Visualize risk exposure and perform reverse stress tests
  • Analyze hedging mismatches and plan derivative overlays

Performance analysis

Analyze historical performance of asset and liability portfolios

  • Attribute out-performance against benchmark to instruments and risk factors including yield curve and currency movements
  • Attribute changes in own capital to assets and liabilities and risk factors including yield curve and currency movements

Advanced Proxy Modeling for Complex Liabilities

Analyze risk, profitability and capital consumption profiles of most complex life insurance liabilities

  • Create robust foundation for capital calculations and hedge planning
  • Analyze maturity level effect to present value and profitability in all stress scenarios
  • Create multi-year projections of liability evolution

Economic Scenario Generation and Liability Valuation

valuate complex life insurance contracts in policy-by-policy with risk neutral economic scenarios

  • Create fast policy-by-policy simulation models of any insurance products
  • Use robust Shifted Libor Market Model for market consistent valuation


MATLAB Provides our clients with infinite possibilities to customize and extend the cFrame Model

  • Use proprietary valuation models for assets
  • Interface with existing systems using MATLAB’s I/O capabilities
  • View and modify cFrame open source libraries*
  • Use MATLAB’s live editor to create ad hoc analysis and rich documentation

*cFrame valuation, risk and UI components libraries are written in open source.

Get in touch!