The danish pension sector are faced with extensive requirements by the Solvency II regulation. A complete data package for addressing these challenges relating to the Economic Scenario Generator are therefore being offered in the package


Building, maintaining and documentation of simulation models is complicated and requires dedicated human resources. This is addressed by, where all these expenses are minimized by oursourcing the main tasks related to the Economic Scenario Generator.

Simulated Market data

A complete data delivery with all major asset classes and underlying risk factors. This includes basic yield curves (risk free curves, Swap curves, regulatory and credit yield curves), inflation, property, equity prices, FX rates and all major asset classes.

Monthly Calibration

All models will be calibrated to traded market data ensuring market consistency. The simulated market data can therefore both serve as input for valuation of financial instruments as well as valuation of pension liabilities.

Danish Market

The Economic Scenario Generator data focuses on the danish market, including danish mortgage backed bonds (realkredit) and volatility adjustments embedded in the regulatory yield curves.

Solvency II Regulation

The data package includes an extensive documentation package ensuring Solvency II compliance. A consistent calibration to observed market data is crucial and a cornerstone in the regulation and this needs to be documented and validated in every update. The documentation will therefore be updated at every market calibration.

The complete data package can be downloaded from the website, The data package contains both documentation of the chosen models, the simulated data and the documentation of solvency II compliance.

Market Data will acquire all market data for being able to perform monthly model calibrations. This includes implied market volatility and curves for all relevant asset classes. It is hereby possible to make a complete package including documentation and simulated data for use by all pension funds.