Economic Scenario Generator

An Economic Scenario Generator (ESG) is a highly specialized software program that is designed to simulate future economic development, in an attempt to expose the nature of financial risks, and to generate economic scenarios, which support valuation and risk management analysis. The stochastic analysis of possible future economics is often critical to assess future liabilities of a company.

With the use of econometric techniques, the Triple A – Risk Finance Economic Scenario Generator can produce both real-world and risk-neutral simulations with economic variables, such as term structure of interest rates, inflation rates, equity indices or bonds. The real-world ESG is needed, for example, to support capital management based on risk assessment or asset and liability management. Risk-neutral ESG may be used to generate scenarios for valuation of the time value of options and guarantees included in insurance agreements and products.

The Triple A – Risk Finance Economic Scenario Generator is a flexible tool that is always tailored to specific client needs and is capable of producing any number of scenarios. Along with each individual set of economic scenarios, the calibration report is always generated.