In this thesis a real world economic scenario generator - based on the Zagst model to describe the main economic factors and using an auto regressive markow switching process to model equity returns - is calibrated. The goal is to perform automated calibrations that are oriented on historical stylized facts but allow to inject external assumptions about future evolutions. For this purpose, a historical calibration is shown and used as a starting point. The calibration will then be modified to incorporate the forecasts. The goal of the historical calibration is to provide not only one solution but a robust range in which to expect the parameters to lie in. A special requirement for the calibration of the equity processes is to model the dependency between the processes which proves to be a non trivial task. To gain the maximal knowlegdge about the model and its features and drawbacks, a multi objective calibration is performed. A special challenge for the interest rate model is that it was modified to incorporate several other important features, like positivity of interest rates. With theses modifications, the theoretical analysis is only used as a hint to what the model can produce, but numerical ways to calibrate the actual, modified Zagst model, are sought. Many technical details arise when calibrating a model based on a big scale Monte Carlo simulation. For both equities and interest rates efficient and stable calibration methods are determined.      «

In this thesis a real world economic scenario generator - based on the Zagst model to describe the main economic factors and using an auto regressive markow switching process to model equity returns - is calibrated. The goal is to perform automated calibrations that are oriented on historical stylized facts but allow to inject external assumptions about future evolutions. For this purpose, a historical calibration is shown and used as a starting point. The calibration will then be modified to in...     »