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Overview
Key Advantages
Screen Shots
Downloads
Overview
VACS-ALM is the device for calculating the distribution of
cash-flows providing answers to determine necessary margins to garantee a
minimal level of interest. It determines the distribution of the value of an
insurance portfolio, as a function of the asset mix, in order to determine the
financial consequences of a ALM strategy. The software calculates safe (but
tied) bounds for the tails of the distribution of financial streams. It deals
with VaR, RBC, embedded value, appraisal value of portfolios taking into account
the modern financial models such as Ho Lee, Vacisek.
Key Advantages
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Our
approach is the only available up to date software really tackling the
stochastic dependencies of error propagation within stochastic net present
value calculations (It allows a more dangerous distribution for the net
present value of a stream of payments for any asset mix, based on economic
convexity order).
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The
program calculates distributions, which have more dangerous tails, dealing
with dependencies in a robust manner. It does not restrict dependencies to
correlations, as is done in many applications because one can construct
non-correlated variates which are highly dependent, even comonotonic).
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It
is an efficient methodology for constructing distributions for net present
values (Basket Options, Asian options,...) without simulation. Simulation is
indeed a to weak method for information about tail probabilities.
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The
economic value of a portfolio of risks can be calculated in case of mergers
or selling of portfolios, and this taking into account the recent financial
models for the different assets.
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The
fair value is calculated as well as the supervisory value of a portfolio.
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The
approach is dynamic and allows to keep into account end-of-the-year
constraints.
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JAVA
is the language of software technology of the near future, extremely useful
for transportation over the Internet.
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The
available softwares VACS-LRC and VACS-ALM have been thoroughly tested by
ASLK (Fortis), De Vaderlandsche (ING), KBC, Cobac NV, AMMA and is from Feb 1
2000 available.
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Screen
Shots
Screen 1
In the SourcePane you define a
returnprocess by means of forwards or mean yearly return from one date to
another. You can also define a mix of returnprocesses. ReturnProcesses are
arranged in a tree in the NavigationPane on the left of the sreen.
Screen2
Time-Value Series can be
entered by cut/copy/paste and edited in the SourcePane. Just like the
returnprocesses the can be arranged in a tree in the NavigationPane.
Screen3
The lowerbound(ES) and
upperbound(CO) of the distribution of the present value of a cashflow
(tima-value series) can be calculated. All kind of characteristics can be
calculated.
Screen4
The Optimal ReturnMix can be determined based on
an optimization criteria. Constraints on the optimal percentages of each member
of the mix can be set.
Downloads
An evaluation version as well as a manual of VacsALM can be downloaded.
It enables you to test to software with one cashflow. Also, don't
forget to download the articles on this page!
Go to Download page
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