DFA Capital Management (DFA), a provider of Enterprise Risk Management (ERM) solutions to the insurance industries, has revealed that Buck Consultants, an ACS company, has signed a license agreement for its GEMS Economic Scenario Generator (ESG).
Buck Consultants intends primarily to use GEMS for pension risk management analysis, developing liability and tail risk hedging strategies, asset allocation, and investment management.
By replacing its internally developed financial modeling tool with GEMS, Buck will gain a differentiation. This includes the ability to effectively serve its client base with global modeling capabilities and a realistic view into potential risks.
GEMS also enables Buck to model new asset classes and incorporate dynamic asset class volatility correlations and stochastic jump assumptions to reflect changes in asset class dynamics in different economic and capital market conditions, where appropriate. These are important features for equity option pricing and tail risk management.
GEMS is a ESG developed by DFA’s team of finance experts. In addition to enabling users to simulate various market elements including derivative and alternative asset pricing, it is also used for a wide variety of applications such as asset liability management, pension plan modeling, financial risk management and portfolio management.