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Economic scenario (ESWG Report (Summary (Develop an interest rate…
Economic scenario
ESWG Report
Mean Reversion Parameter
Calibration Criteria
Summary
Develop an
interest rate generator
&
calibration criteria
Use either Academy scenarios or calibrated ones
Focus on Stochastic Log Volatility (SLV)
Probability Measures
Real-world => P-Measure
Yield Curve completion
1-yr & 20-yr Treasury rates
Linear interpolation in between
AIRG => Academy Interest Rate Generator
FAQ
AG43 & C3P2
Allow Academy scenarios and proprietary ones
2010 AIRG
Scenario picker tool for 10,000 scenarios
Satisfy calibration criteria
Stochastic Exclusion Test
Generate interest rate & equity scenarios
MRP => automatically updated