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- Dokumenttyp:
- Diplomarbeit
- Autor(en):
- El Moufatich, Fayssal
- Titel:
- Economic Scenario Generators: Calibration, Simulation and Comparison from an ALM Perspective
- Abstract:
- We are living in a time when the power of today?s computers enables even highly complex simulations to run in a reasonable amount of time. Furthermore, in recent years, the financial and actuarial competencies have been progressively converging. In this thesis, we dive into the world of Economic Scenario Generators (ESGs). These financial tools come in a time, especially after the still-ongoing financial crisis, when financial analysis is no longer envisioned as a black box, nor its answers as the irrefutable truth. Indeed, it should be regarded as an instrument for gaining insight into how we can tame the uncertainty and overcome the complexity of the financial world. Nowadays, ESGs are becoming an invaluable support tool for management in making informed decisions, not a decision maker by itself. This thesis distinguishes the available ESGs into 3 major classes: econometrics-based, pricing-based, and hybrid-based. We, then, delve into the underlying models, the calibration, and the simulation of three representative ESGs: the Wilkie ESG, the Barrie & Hibbert ESG, and the risklab ESG, respectively. Finally, we compare how the three fare through an Asset-Liability Management (ALM) study.
- Gutachter:
- Prof. Dr. Rudi Zagst
- Jahr:
- 2009
- Sprache:
- en
- Hochschule / Universität:
- Technische Universität München
- Fakultät:
- Fakultät für Mathematik
- Format:
- Text
BibTeX