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Scenario Generation: Valuation versus Strategy Development

Scenario Generation: Valuation versus Strategy Development The article discusses under which conditions it is appropriate to use the true probability distribution or the risk-neutral probability ...
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Description: The article discusses under which conditions it is appropriate to use the true probability distribution or the risk-neutral probability distribution for interest rate scenario generation. It addresses which should be used for valuation purposes and strategy development.
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- Authors: Luke Girard, Mark S Tenney
- Date: Aug 1999
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods>Scenario generation

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Scenario Generation: Valuation versus Strategy Development