Fortuna - Economic Scenarios Generator

An Economic Scenario Generator (“ESG”) is a model used to projects the value of economic parameters (e.g., stock returns, interest rates, corporate bond spreads, property values) into the future through Monte-Carlo simulation techniques

It creates numerous possible scenarios for the evolution of such macro-economic and market variables. The output of an ESG are thus time-series of variables for different possible evolutions of world (“scenario’s”).

Reacfin’s regularly develops tailored ESG solutions for financial institutions. To illustrate our capabilities in this matter you may test a simplified demo version of one of our Real-World ESG.

• Reacfin White Paper in Quantitative Finance:
  Modeling negative interest rates with Free Boundaries SABR Approaches for model assessment and validation


• Reacfin’s presentation:
  Practical aspects in deploying strategic asset allocations for liability-driven investors