Meaning of economic scenario generator | Babel Free

Definitions

A software tool that creates a set of economic assumptions (such as interest rates, inflation rates, investment returns) for use in a stochastic model.

Examples

“Economic scenario generators (ESGs) have⟳ been used for years by insurance company asset liability management; now, there are compelling reasons to use⟳ economic scenario generators (ESG) with crisis scenarios for many kinds of asset management.”

“Both asset and ALM models are to be run⟳ in a stochastic mode, which in turn⟳ requires having an additional sub-model generating the required scenarios, i.e. the economic scenario generator (ESG).”

“Most economic scenario generators would include⟳ modeling economic variables such as government bond yield⟳ rates, corporate bond yield⟳ rates, equity returns, inflation rates, foreign exchange⟳ rates, etc. While many models used in the industry for interest⟳ rates and equity rates can be more sophisticated than those introduced in this book, readers can already develop⟳ a simple economic scenario generator based on simulation methods developed in this chapter.”

CEFR level