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ESG Rebase

ByCharlie Howell, Michael Leitschkis, and Russell Ward
26 July 2019
Increased volume and sophistication have combined to make full Economic Scenario Generator (ESG) recalibrations increasingly onerous, highlighting the need for alternative approaches. This paper introduces ESG Rebase, a technology capable of accurately translating a baseline risk-neutral ESG file representing an entirely different set of market conditions, such as nominal yield curve, equity volatility vector or fixed interest volatility surface.

About the Author(s)

Charlie Howell

Michael Leitschkis

Russell Ward

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