macroEconomicScenarios: Constructing Macro Economic Scenarios

In sstModel: Swiss Solvency Test (SST) Standard Models

Description

macroEconomicScenario is an S3 method to construct macro economic scenarios, i.e. constrained values taken by the market risk-factors and potentially participation.

Usage

macroEconomicScenarios(macro.economic.scenario.table)

Arguments

macro.economic.scenario.table

a numeric matrix with named columns and rows. Each row represents a different economic scenario and each column is associated to a risk-factor appearing in a marketRisk (or a participation contained in the portfolio). The rownames of the matrix should indicate the names of the economic scenarios and the columns names should exactly match the names of the base risk-factors defined in a a marketRisk (respecting the order). In addition, if the underlying portfolio also contains a participation, an additional column named "participation" should be included in this table as the last column.

Value

an S3 object of class macroEconomicScenarios.

sstModel documentation built on May 2, 2019, 12:16 p.m.