Econometric Scenario Generators (ESG) are key instruments in financial risk management. As such, the quality and robustness of the generated scenarios are important factors for reliable risk management. A key indicator of ESG quality is a reasonable correlation between economic variables and the preservation of stylized facts in the generated scenarios. In this post, we […]
Category: Stylized facts
Stylized Facts in Economic Scenarios
Economic scenarios are often highly complex, shaped by monetary policy, geopolitical tensions, bilateral trade agreements, labor market dynamics, and a host of other interrelated factors. This complicated reality of economics often requires a simplified interpretation to understand the underlying patterns and dynamics within scenarios. Stylized facts serve as guiding stars in navigating vast amounts of […]