Economic Scenario Generator

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Economic Scenario Generator (ESG) generates interest, equity, foreign exchange, and other scenarios for multiple economies, including Japan, under both risk-neutral and real-world scenarios. Risk-neutral scenarios have been used for calculation of time value of options and guarantees for MCEV, hedging of minimum guarantee risks of variable annuities, economic value-based liability valuation for Solvency II, and other purposes. Real-world scenarios have been used for risk measurement regarding economic capital and for US GAAP accounting purposes. The calibration tool of the interest rate model for generating risk-neutral scenarios is developed by using MATLAB produced by MathWorks, Inc.

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