README.md

In ZScore314/ESG: Economic Scenario Generator for Asset Modeling

ESG

This package provides functions for generating economic scenario sets for (Re)insurer Economic Capital Models.

The two main objectives are calibration and simulation of financial variables including:

• Inflation
• Interest Rates (real & nominal)
• Equity Returns

Getting Started

Install this package from this bitbucket page using the devtools R package.

devtools::install_github("ZScore314/ESG")

To do

• Vignettes

• [ ] intro

• Equities

• [ ] regime-switching equity model calibration

• Interest rates

• [ ] bootstrap bond spot rates

• [ ] Hull-White Calibration

• Other

• [ ] Add unemployment data
• [ ] Functionality for joint simulation of all relevant variables

ZScore314/ESG documentation built on Feb. 11, 2022, 12:15 a.m.