Economic Scenario Generators - MEMBER

Economic Scenario Generators A Practical Guide July 2016 2 2016 Society of Actuaries Economic Scenario Generators A Practical Guide SPONSORS Committee on Finance Research Research Expanding Boundaries Pool AUTHORS Hal Pedersen, ASA, Mary Pat Campbell, FSA, MAAA Stephan L. Christiansen, FCAS, MAAA Samuel H. Cox, , FSA, CERA Daniel Finn, FCAS, ASA Ken Griffin, CFA, ASA, MAAA Nigel Hooker, , FIA Matthew Lightwood, , BSC (HONS) Stephen M. Sonlin, CFA Chris Suchar, FCAS, MAAA Caveat and Disclaimer The opinions expressed and conclusions reached by the authors are their own and do not represent any official position or opinion of the Society of Actuaries or its members. The Society of Actuaries makes no representation or warranty to the accuracy of the information. Copyright 2016 All rights reserved by the Society of Actuaries 3 2016 Society of Actuaries CONTENTS 6 Acknowledgments.

Applications of an ESG can range from limited tasks to broad analyses. For example, a small task might be the simulation of interest rates in order to understand the impact of interest rate changes on an investment portfolio. A broader role for an ESG could be supporting an enterprise risk management approach in order to identify and manage

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