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The Growing Demand for More Robust Economic Scenario Generators
The Growing Demand for More Robust Economic Scenario Generators Reviews basic desirable features ... model is a key component of most ESG models. Its primary purpose is to generate the prices of risk-free ...- Authors: Ken Griffin, Hal Warren Pedersen
- Date: Aug 2016
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Strategic Insight and Integration>Strategy development; Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Publication Name: Risks & Rewards
- Topics: Finance & Investments>Asset liability management
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An Actuarial Layman's Guide to Building Stochastic Interest Rate Generators
model, because paths of interest rates are the primary feature of the model; and (iii) moving between ... scenarios generated are subservi- ent to the primary goal of calculating current market values. The ...- Authors: Michael F Davlin, Merlin F Jetton, James A Tilley, Hal Warren Pedersen
- Date: Oct 1992
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Economics>Financial economics; Modeling & Statistical Methods>Stochastic models