Intro

In this short presentation, we give an outline of our training capabilities about the development and implementation of an Economic Scenario Generator (ESG).
Such a tool allows us to project some economic variables over a fixed time horizon (such as stock indices, interest rates or inflation, for instance).

ESGs are mainly used for

• the valuation of (complex) financial product
• and risk management purposes, such as the computation of the regulatory capital or strategic asset allocation studies.

In this demo we give a quick introduction of the Wiener process, a mathematical tool allowing us to generate the noise underlying the projection of the risk factors.

Author: Adrien Lebègue  | Publisher : Reacfin Academy

Demo 

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