Open alecloudenback opened 2 years ago
Hi @alecloudenback, cc @gchen3
I just sent you a long email, but didn't check this issue first.
I don't think the 2nd equity bullet above is correct. That would use the same return shock and volatility shock for each asset class, but the AIRG model uses one set of correlated return and volatility shocks for the Diversified Fund (one pair of shocks for each month for each of 100 years for each scenario as I read it), another (different) set of correlated shocks for the International Fund, and so on.
So I don't think you would have similar results to those they published if you reused the Z variates.
Thanks for the feedback, I edited to say more clearly what I intended.
I updated the notebook to have all four equity funds and it validates against Table 8 mean/std dev in the PDF.
https://github.com/JuliaActuary/Learn/commits/master/AAA_Equity_Generator.jl
Interest Rates
What needs to be done for interest rate scenarios:
Equity
What needs to be done for equity scenarios:
Z
variates for a bigger covariance matrix and using different parametersReference: https://www.actuary.org/sites/default/files/pdf/life/c3supp_march05.pdf