Economic Scenario Generator ESG Software

Depending on your needs, there are two distinctly different approaches for generating economic scenarios.

Real-world scenario generators

• Calibrated to historical economic data
• Reflect real-world volatility
• Preferred for longer term capital management

Market-consistent scenario generators

• Replicate market option prices
• Provide arbitrage-free scenarios
• Preferred for pricing of complex financial instruments 

Market-consistent scenarios often show greater volatility than real-world scenarios. Because of this, market-consistent methods are great for pricing but not suitable for longer term capital management, while the opposite is true for real-world methods. That's why we offer both.

Global CAP:Link

Global CAP:Link is a real-world economic scenario generator used for risk and capital management.

• Inputs include initial conditions, normative assumptions, calibration parameters and economic data, including interest rates, GDP, inflation, earnings yield, dividend yield and equity risk premium by country
• The interest rate model is based upon the Brennan-Schwartz two-factor method. The equity growth and yield models are based upon work with Mulvey. The credit spread model is based upon work by Bevan and Garzarelli and others. These models are linked in a cascading structure.
• Currently calibrated for eight currencies, including all major currencies (US Dollar, Euro, Yen and Pound)
• Full yield curve created at every point in simulation for each country
• One of the few stochastic scenario generators on the market capable of producing global simulations that are internally consistent both within a country and among countries
• Works with MoSes, TAS and RiskAgility P&C 

MoSes ESG

MoSes ESG is a market-consistent, risk-neutral economic scenario generator used for pricing.

• Input market prices, for example, from Bloomberg
• Uses Hull and White method for interest rates and Geometric Brownian Motion for equities and other assets
• Built-in user calibration capability
• Automatic scenario validation
• Scenario data includes bond prices, yields, discount factors, equity and other asset indices
• Multi-currency capabilities
• Advanced corporate bond calibration