ESG Rebase

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By Charlie Howell, Michael Leitschkis, Russell Ward | 26 July 2019
Increased volume and sophistication have combined to make full Economic Scenario Generator (ESG) recalibrations increasingly onerous, highlighting the need for alternative approaches. This paper introduces ESG Rebase, a technology capable of accurately translating a baseline risk-neutral ESG file representing an entirely different set of market conditions, such as nominal yield curve, equity volatility vector or fixed interest volatility surface.