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Research Projects

Research Projects in Finance

Modeling of Economic Series Coordinated with Interest Rate Scenarios

The SOA’s Committee on Finance Research is pleased to make available the results of this research project, jointly sponsored by the SOA and CAS, that explores economic series and provides an Excel-based tool for generating future economic scenarios.

The research was conducted by the team of Kevin Ahlgrim of lllinois State University, and Stephen D’Arcy and Richard Gorvett, both of University of Illinois.

• The Complete Report excluding Appendices
• Section 7 of the Report–Results of Model Simulations
• Appendix A: User’s Guide to the Model
• Appendix B: Presentations on the Research
• *Appendix C: Simulated Financial Scenario Data
• Appendix D: The Financial Scenario Model
• *(A CD-ROM with this file is available from the SOA office for $15.00. Please contact Jeanne Nallon or Steve Siegel for further information.)
• Please note the Financial Scenario Model in Appendix D requires @RISK, an Excel add–in, to operate properly. @RISK can be purchased from the following web site: www.palisade.com
• For those who do not wish to purchase @RISK, Appendix C contains hundreds of scenarios (i.e., simulation paths) of financial and economic variables, generated as output from the Financial Scenario Model. This data can be used directly, in lieu of actually running the model and requiring @RISK; the “ pre–simulated” scenario paths can be used as an input to a user’s application or model.