Simulate plausible scenarios of relevant risk factors

Economic scenarios

Economic Scenarios

Scenario analysis has proven to be an essential method to support asset allocation decisions and monitor the financial risk of investment portfolios. By generating economic scenarios, the possible future states of global economies and capital markets can be simulated. Here it is crucial that the behavior of these scenarios and variables at different horizons and frequencies is plausible over time.

The Dynamic Scenario Generator (DSG) models consistent market behavior in asset prices, yield curves and volatilities across different regions and currencies. Our real world economic scenarios are compliant with commonly accepted empirical laws such as the term structure of risk and return (risk and return properties vary with the horizon), business cycle dynamics, term structure dynamics, time-varying volatilities and extreme tail dependencies.

Besides the DSG software we supply our clients a fully calibrated scenario set. The variable coverage incorporates all relevant macro-economic variables and a wide range of liquid and illiquid asset classes, including alternative assets for all major countries in the world. We provide updates on a monthly basis to assure that recent market information is continuously factored into the scenario sets.

Contact Ortec Finance
Contact us
+31 10 700 50 00
info@ortec-finance.com

High-quality scenarios

  • Simulation of long-term trends, business cycles and short-term variations based on cyclic and other market-specific factors
  • Span dynamic correlation structure of all these variables in a consistent way
  • Explicit modelling of Non-normality (skewness, heavy tails)
  • Including exchange rates and yield curve modelling for all major regions and countries

Sophisticated Software

  • User-friendly software, customized to the client’s needs (frequency and number of variables)
  • Approach allows clients to use short-term scenarios for risk monitoring and, combined with long-term scenarios, to analyze strategic investment decisions in a coherent manner
  • Sophisticated methodology using frequency domain techniques, principal component analysis and special techniques

Client-centric

  • Able to imply client’s views on future return assumptions or macro-economic variables such as inflation, GDP and interest rates, in a consistent manner
  • Calibrations made available every month for more than 400 economic variables
  • Monthly economic report taking recent market conditions into account and consequences for the economic scenarios
News image
Leaflet
Dynamic Scenario Generator

Working paper Financial Risk Management for pension funds
Working paper

Financial Risk Management for Pension Funds

News image
Publication
Risk Management and Frequency Domain Scenarios