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.
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ESG Rebase
This paper introduces ESG Rebase, a technology capable of accurately translating a baseline risk-neutral Economic Scenario Generator file representing an entirely different set of market conditions, such as nominal yield curve, equity volatility vector or fixed interest volatility surface.
Charlie Howell, Michael Leitschkis, Russell Ward