I am currently using the MG-ALFA FAS97 cohort GAAP calculations, and I would like to a sensitivity test on the projected DAC. Can MG-ALFA help me with this?
MG-ALFA provides full support for FAS97, FAS120 and FAS60. For FAS60, both PGAAP (purchase GAAP) and HGAAP (historical GAAP) calculations are supported. For, FAS97 and FAS120, the GAAP calculations are done on the cohort level, with the user designating the GAAP cohort based on issue year and any other characteristic combination. Once the DAC has been calculated according to base assumptions, the user also has the ability to perform sensitivity analysis on the projected DAC. The Modify toolbar button located under the Output File View section of the FAS97 or FAS120 valuation accesses this functionality. This feature provides the user the ability to shock a given parameter in the history file, and MG-ALFA will calculate the resulting DAC amortization after applying the modification. The user has the ability to either manually enter the parameters modeling the shock or change in the variable, or to use the Wizard to have the necessary modifications automatically calculated.
