economic scenario generator

Noun

economic scenario generator (plural economic scenario generators)

1. A software tool that creates a set of economic assumptions (such as interest rates, inflation rates, investment returns) for use in a stochastic model.
   • Economic scenario generators (ESGs) have been used for years by insurance company asset liability management; now, there are compelling reasons to use economic scenario generators (ESG) with crisis scenarios for many kinds of asset management.2015, Arnaud Clément-Grandcourt, Hervé Fraysse, “Introduction”, in Hazardous Forecasts and Crisis Scenario Generator, ISTE Press, →ISBN, page ix-x
   • Both asset and ALM models are to be run in a stochastic mode, which in turn requires having an additional sub-model generating the required scenarios, i.e. the economic scenario generator (ESG).2016, Jean-Paul Felix, “Cash Flow Projection Models”, in Jean-Paul Laurent, Ragnar Norberg, Frédéric Planchet, editors, Modelling in Life Insurance - a Management Perspective, Springer, →DOI, →ISBN...