Economic Scenario Generator
Budget: $8 – $15 CAD
For the US economy, build a (single-economy) economic scenario generator that contains at least the following variables:
1. Inflation.
2. (Long-term) interest rates.
3. Equity returns.
4. Equity dividend yields.
This model should be original and should represent the economy you try to model.
Estimate this model based on real data using R . Then, test whether your ESG is adequate (e.g., assess the fit to historical series, verify whether funnels of doubt are realistic).
Show your work and your computer codes. Also, provide a full-fledged report that gives all the construction details of your ESG. Your report should include an introduction, a conclusion, and the following sections: modelling assumptions, estimation methodology, results, and actuarial implications.
1. Inflation.
2. (Long-term) interest rates.
3. Equity returns.
4. Equity dividend yields.
This model should be original and should represent the economy you try to model.
Estimate this model based on real data using R . Then, test whether your ESG is adequate (e.g., assess the fit to historical series, verify whether funnels of doubt are realistic).
Show your work and your computer codes. Also, provide a full-fledged report that gives all the construction details of your ESG. Your report should include an introduction, a conclusion, and the following sections: modelling assumptions, estimation methodology, results, and actuarial implications.