Economic Scenario Generators: A Practical Guide
An economic scenario generator (ESG) is a software tool that simulates future paths of economies and financial markets and illuminates the nature of risk
XSG: Economic Scenario Generator
XSG Economic Scenario Generator. 3. Introduction to XSG. What is XSG? XSG is Deloitte's economic scenario generation software solution designed to meet
cas research papers - a users guide to economic scenario
A User's Guide to Economic Scenario. Generation in Property/Casualty. Insurance. Conning. Introduction. An economic scenario generator (ESG) is a
1 economic scenario generators and solvency ii by em varnell
5 mai 2009 - The management of assets backing insurance liabilities. - The asset liability management of pension schemes. 2.9. Types of ESG Scenarios used ...
On Constructing a Market Consistent Economic Scenario Generator
4 mars 2011 consistent valuation is through the use of an economic scenario generator (ESG) which creates stochastic scenarios of future asset returns.
NAIC Economic Scenario Generator (ESG) Questions and Answers
5 févr. 2021 This ESG will produce real-world interest and equity scenarios to be prescribed for use in calculations of life and annuity Statutory reserves ...
UPDATE ON MODEL OFFICE ECONOMIC SCENARIO
17 mars 2022 All rights reserved. May not be reproduced without express permission. UPDATE ON MODEL OFFICE. ECONOMIC SCENARIO. GENERATOR (ESG) TESTING.
GEMS® Economic Scenario Generator
An economic scenario generator (ESG) enables financial services companies to model future states of the global economy and capital markets for the purposes
Consistent Calibration of Economic Scenario Generators: the Case
21 avr. 2020 Economic Scenario Generators (ESGs) simulate economic and financial variables for- ward in time for risk management and asset allocation ...
Economic Scenario Generator
27 avr. 2016 A simulation of this fluctuation may be captured using mathematical models. An. Economic Scenario Generator (ESG) uses a mathematical procedure ...
[PDF] Economic Scenario Generators: A Practical Guide - SOA
An economic scenario generator (ESG) is a software tool that simulates future paths of economies and financial markets and illuminates the nature of risk
[PDF] XSG: Economic Scenario Generator - Deloitte
XSG is Deloitte's economic scenario generation software solution designed to meet both the present and evolving Monte Carlo scenario modelling needs of
[PDF] A USERS GUIDE TO ECONOMIC SCENARIO GENERATION IN
An economic scenario generator (ESG) is a computer-based model that provides many simulated examples of possible future values of various economic and
[PDF] Economic Scenario Generators: a risk management tool for insurance
18 mai 2022 · Abstract We present a risk management tool named Economic Scenario Generator (ESG) used by insurance companies for simulating the global
[PDF] Scenario Generation for Market Risk Models Using - MDPI
22 oct 2022 · An economic scenario generator (ESG) is a computer-based model of an economic environment that is used to produce simulations of the joint
[PDF] Economic Scenario Generator - Worcester Polytechnic Institute
27 avr 2016 · Economic Scenario Generator (ESG) uses a mathematical procedure to Our ESG simulated the returns of 10 exchange traded funds (ETFs)
Economic Scenario Generators American Academy of Actuaries
The Academy and the Society of Actuaries (SOA) have joined resources to manage the economic scenario generators used in regulatory reserve and capital
[PDF] Economic Scenario Generator (ESG) Stylized Facts for Equities - NAIC
9 août 2022 · Chairperson Economic Scenario Generator Work Group (ESGWG) /sites/default/files/2021-02/economic-scenario-generation-conning1020 pdf )
[PDF] NAIC Economic Scenario Generator (ESG) Questions and Answers
5 fév 2021 · This ESG will produce real-world interest and equity scenarios to be prescribed for use in calculations of life and annuity Statutory reserves
[PDF] GEMS® Economic Scenario Generator - Conning
An economic scenario generator (ESG) enables financial services companies to model future states of the global economy and capital markets for the purposes
What are economic scenario generators?
An Economic Scenario Generator (ESG) refers to a mathematical model (and its computer implementation) that simulates possible future paths of economic and financial market variables.What are scenarios in economics?
Economic scenario planning gives corporate leaders a way to model their businesses for success, despite the uncertain extremes of the current economic moment. It achieves this goal by combining multiple sources of data, including external macroeconomic data sets, econometric modeling, and economic expertise.- The formula for the dynamic mean reversion point has been defined by the NAIC as follows: Mean reversion point = 20% of the median over the last 600 months + 30% of the average over the last 120 months + 50% of the average over the last 36 months The result is then rounded to the nearest 0.25%.
M(0;T) =@lnPM(0;T)@T
r(t) =r(s)ea(ts)+Z t s ea(tu)(u)du+Z t s ea(tu)dW(u) =r(s)ea(ts)+(t)(s)ea(ts)+Z t s ea(tu)dW(u) (t) =fM(0;t) +22a2(1eat)2: ??????? ??? ???????x?? dx(t) =ax(t)dt+dW(t); x(0) = 0; x(t) =x(s)ea(ts)+Z t s ea(tu)dW(u); ????? ??????r(t) =x(t) +(t)??? ????t?P(t;T) =A(t;T)eB(t;T)r(t)???????
8 >:B(t;T) =1a h1ea(Tt)i
A(t;T) =PM(0;T)P
M(0;t)exp
B(t;T)fM(0;t)24a(1e2at)B(t;T)2
ZBC(t;T;S;K) =P(t;S)(h)KP(t;T)(hp)
p=r1e2a(Tt)2aB(T;S); h=1 plnP(t;S)P(t;T)K+p2ZBP(t;T;S;K) =KP(t;T)(h+p)P(t;S)(h):
PS(t;T;t1;:::tn;N;K) =NnX
i=1c iZBP(t;T;ti;Ki)??????? ???? ???? ???? ??????? ?????ft1;:::;tng;t1> T????? ?? ???? ?? ??? ???? c i=Ki???i= 1;:::;n1???cn= 1 +Kn? K i=A(T;ti)exp(B(T;ti)r)?????r?? ??? ????? ?? ??? ???? ???? ?? ????T P n i=1ciA(T;ti)eB(T;ti)r= 1 dln(r(t)) = [(t)a(t)ln(r(t))]dt+(t)dW(t); r(0) =r0 dln(r(t)) = [(t)aln(r(t))]dt+dW(t); r(0) =r0??????? dr(t) =r(t)h (t) +22 alnr(t)i dt+r(t)dW(t) r(t) =exp lnr(s)ea(ts)+tR sea(tu)(u)du+tR sea(tu)dW(u) (t) =ln(r0)eat+t Z 0 e a(tu)du??????? lim t!1E(r(t)) = exp limt!1(t) +24a dS(t) =S(t)dt+S(t)dW(t); S(0) =S0O(t;T;K) =S0(d1)KP(t;T)(d2)
d1=ln(S0=K) + (r+2=2)(Tt)
pTt d2=ln(S0=K) + (r2=2)(Tt)
pTtO(t;T;K) =S(t)ey(Tt)(d1)KP(t;T)(d2)
d1=lnS(t)KP(t;T)y(Tt) +12
v2(t;T)v(t;T) d2=lnS(t)KP(t;T)y(Tt)12
v2(t;T)v(t;T) v2(t;T) =V(t;T) +S(Tt) + 2r;SrSa
Tt1a1ea(Tt)
V(t;T) =2
ra2Tt+2a
ea(Tt)12ae2a(Tt)32a dhWr;WSit:=dt dS(t) =S(t)dt+S(t)dW(t); S(0) =S0 dS(t) = (rf+P)S(t)dt+S(t)dW(t) r t=w0rt+w(B)rt1 w(B) =w1+w2B+w3B2+::: ?????B?????? ?? ??? ??? ?Brt1=rt2??B2?????? ?? ??? ???? ??? ?? ??? r t=(B)rt??+et??????? e t=w0rt r r t=(rt(B)rt1)w 0 r w0=2SD(rtrt1)
Stock Market
(X;Y) :=Cov(X;Y)pV ar(X)pV ar(Y) ??????? ????? ???????i???j??? ?? ?????(i;j)???(j;i)?? ??? ??????? ?? ?????? dX(t) =a(t;X(t))dt+b(t;X(t))dW(t) Y n+1=Yn+a(n;Yn)(n+1n) +b(n;Yn)(Wn+1Wn)E(4Wn) = 0
E((4Wn)2) =n+1n
??p0204060801001201400
0.005 0.01 0.015 0.02 0.025 0.03 0.035 0.04 0.045Time (years)
???? ????? ?????0 5 100246810
0.2 0.25 0.3 0.35 0.4 0.45 0.5 TenorMaturity
PS(0;T;T+1;:::;T;N;K;) =N??
K;S ;(0);pT ;1 X i=+1 iP(0;Ti): ???? ?? ????t= 0????? ?? S ;(0) =P(0;T)P(0;T)P i=+1iP(0;Ti);Bl(K;F;pT;!) =F!(!d1(K;F;pT))K!(!d2(K;F;pT));
d1(K;F;pT) =??(F=K) +2T=2
pT d2(K;F;pT) =??(F=K)2T=2
pT ??????0 5 10 0 10 20 300.1 0.15 0.2 0.25 0.3 0.35 0.4 0.45 0.5 Tenor
Maturity
5 10 0 10 20 300.2 0.25 0.3 0.35 0.4 0.45 0.5 Tenor
Maturity
5 1001020304050
0 0.1 0.2 0.3 0.4 0.5 TenorMaturity
?? ????? ????a010203040500
0.01 0.02 0.03 0.04 0.05 0.06 0.07Time (years)
010203040500
5 10 15 20 25Time (years)
010203040500
0.01 0.02 0.03 0.04 0.05Maturity
Price010203040500
0.01 0.02 0.03 0.04 0.05Maturity
Price010203040500
0.01 0.02 0.03 0.04 0.05Maturity
Price010203040500
0.01 0.02 0.03 0.04 0.05Maturity
010203040500
0.1 0.2 0.3 0.4Maturity
Swaption implied volatility
010203040500
0.1 0.2 0.3 0.4Maturity
Swaption implied volatility
Market implied volatility
Hull-White implied volatility
V ar forward(t) =IV20et+IV21(1et) IV model(T) =v uuut1 T T Z t=0V ar forward(t)dt=rIV 21+1T(1eT)(IV20IV21)
RMSE=s1
N XT(IVmodel(T)IVmarket(T))2
0123450
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