Economic Scenario Generator
Historical market data states are known. The Economic Scenario Generator (ESG) aims at simulating future possible market data states (i.e. future equity indices, yield curves, FX rates, etc.).
The simulation library contains models for all major risk factor classes, including interest rate curves, equity prices, FX rates, inflation, energy prices, etc..
The Economic Scenario Generator is compliant with Solvency II regulation. This means that the scenario generator includes bootstrapping algorithms for the Smith-Wilson method including Ultimate Forward Rates and Volatility Adjustments.
The creation of fully-defined future scenarios is made easy. It is therefore easy to implement scenario stresses based on historical movements (i.e. what happens if the financial crisis happens again). Regulatory scenarios (i.e. Prudent Person) are also supported.
A fully-fledged Monte Carlo engine for creating future market data scenarios based on statistical financial models is included. This includes among others Brownian Motion, Hull-White, Cox-Ingersoll-Ross and Clewlow-Strickland.
The entire userinterface is implemented in Excel. This makes the access to the calculation very flexible as the user can easily modify and analyse the outcome of the Economic Scenario Generator.