Dictionary

economic scenario generator en · NOUN

Meanings

1. A software tool that creates a set of economic assumptions (such as interest rates, inflation rates, investment returns) for use in a stochastic model.
   • 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). 2016, Jean-Paul Felix, “Cash Flow Projection Models”, in Jean-Paul Laurent, Ragnar Norberg, Frédéric Planchet, editors, Modelling in Life Insurance - a Management Perspective, Springer, →DOI, →ISBN, →ISSN, page 66:
   • 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. 2015, Arnaud Clément-Grandcourt, Hervé Fraysse, “Introduction”, in Hazardous Forecasts and Crisis Scenario Generator, ISTE Press, →ISBN, page ix-x:
   • 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. 2018, Runhuan Feng, chapter 3, in An Introduction to Computational Risk Management of Equity-Linked Insurance (CRC Financial Mathematics Series), CRC Press, →ISBN, section 3.4:

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