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esg - economic scenarios generators #26

Open msz13 opened 2 months ago

msz13 commented 2 months ago

ESG handbook: 2016 https://www.soa.org/globalassets/assets/Files/Research/Projects/research-2016-economic-scenario-generators.pdf

2020 https://www.casact.org/sites/default/files/2021-02/economic-scenario-generation-conning1020.pdf

Updating Wilkie's Economic Scenario Generator for U.S. Applications https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3040259#paper-citations-widget

SUPA model https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3362700

Wilkie witch FX rates https://www.jstor.org/stable/41141450?read-now=1&oauth_data=eyJlbWFpbCI6Im1hdC5zemN6ZWNpbnNraUBnbWFpbC5jb20iLCJpbnN0aXR1dGlvbklkcyI6W119&seq=128#page_scan_tab_contents

yet more http://www.macs.hw.ac.uk/~andrewc/papers/AAS2010.pdf

AGD model https://www.casact.org/sites/default/files/database/proceed_proceed05_05187.pdf

var model - liability driven benchmark https://www.soa.org/498f7f/globalassets/assets/files/resources/research-report/2019/liability-driven-investment.pdf

A STOCHASTIC ASSET MODEL & CALIBRATION FOR LONG-TERM FINANCIAL PLANNING PURPOSES http://www.ressources-actuarielles.net/EXT/ISFA/1226.nsf/0/a1d9fb9416c79dfec12576020046e11b/$FILE/hibbert.pdf

A Stochastic Processes Toolkit for Risk Management https://arxiv.org/pdf/0812.4210

The Impact of the 2017 Finnish Pension Reform on Asset Allocation and Expected Returns usage of ortec var models to asset allocation https://lutpub.lut.fi/bitstream/handle/10024/129904/MastersThesis_Saarni_Jenna.pdf?sequence=2&isAllowed=y

Begin Model https://www.researchgate.net/publication/353991645_On_Complex_Economic_Scenario_Generators_Is_Less_More

Prosty ESG z regime switching monte carlo https://web.wpi.edu/Pubs/E-project/Available/E-project-042716-133435/unrestricted/Actuarial_MQP_Paper_Economic_Scenario_Generator.pdf

Omówienie różnych modeli z naciskiem na var https://www.netspar.nl/assets/uploads/038_MA_Cornelis_Slagmolen_2010.pdf

Macroeconomic Scenarios and Reality: A Frequency Domain Approach for Analyzing Historical Time Series and Generating Scenarios for the Future

https://research.vu.nl/en/publications/macroeconomic-scenarios-and-reality-a-frequency-domain-approach-f

fx stochastic model https://www.actuaries.org/AFIR/colloquia/Orlando/Wilkie.pdf

https://www.casact.org/sites/default/files/database/dpp_dpp01_01dpp19.pdf

On cross-currency models with stochastic volatility and correlated interest rates

https://mpra.ub.uni-muenchen.de/23020/1/MPRA_paper_23020.pdf

Biblioteka z modelami https://github.com/jason-ash/pyesg

GAN ESG Flaig https://arxiv.org/pdf/2109.10072.pdf Wiese https://arxiv.org/pdf/1907.06673.pdf implementation with TensorFlow https://github.com/JamesSullivan/temporalCN

machine learning ESG validation https://arxiv.org/pdf/2301.12719.pdf

Forecasting Economic and Financial Variables with Global VARs https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4756743

http://www.turingfinance.com/random-walks-down-wall-street-stochastic-processes-in-python/#conclusion

model dla afryki z inflation linked bonds https://arxiv.org/ftp/arxiv/papers/1912/1912.12113.pdf

incorporating views Consistent Calibration of Economic Scenario Generators: the Case for Conditional Simulation https://arxiv.org/pdf/2004.09042.pdf

Consistent Calibration of Economic Scenario Generators: the Case for Conditional Simulation https://arxiv.org/pdf/2004.09042.pdf

przykłady kalibracji: https://www.soa.org/digital-publishing-platform/emerging-topics/economic-scenario-generators-part-iii/

https://www.soa.org/digital-publishing-platform/emerging-topics/economic-scenario-generators-part-iii/

Views, Factor Models and Optimal Asset Allocation Martin van der Schans a *, Hens Steehouwer a,b

Procesy stochastyczne w python https://towardsdatascience.com/stochastic-processes-simulation-the-ornstein-uhlenbeck-process-e8bff820f3

DCC GARCH i python https://www.sarem-seitz.com/multivariate-garch-with-python-and-tensorflow/

parameter estimation Kalman filter https://isharifi.ir/teaching/2019/IoT/[Dan_Simon]_Optimal_State_Estimation_Kalman,_H_In(BookFi).pdf

A STOCHASTIC ASSET MODEL & CALIBRATION FOR LONG-TERM FINANCIAL PLANNING PURPOSES http://www.ressources-actuarielles.net/EXT/ISFA/1226.nsf/0/a1d9fb9416c79dfec12576020046e11b/$FILE/hibbert.pdf

Economic Scenario Generator and Parameter Uncertainty: A Bayesian Approach https://www.researchgate.net/publication/332420655_Economic_Scenario_Generator_and_Parameter_Uncertainty_A_Bayesian_Approach

Hardy regime swithing model with Markov Chain Monte Carlo Parameter Estimation https://citeseerx.ist.psu.edu/document?repid=rep1&type=pdf&doi=65b488950543da6e25a33f0c46bb73c9f0935e68

Stochastic investment model for ALM https://www.actuaries.org/AFIR/Colloquia/Tokyo/Yaboubov_Teeger_Duval.pdf

GOES-Equity Gross Wealth Factors https://www.actuary.org/sites/default/files/2023-11/Life-Letter-GOES-EquityGrossWealthFactors.pdf

A new domain - Hens Steehouwer discusses the frequency domain for correlations over different time periods https://www.theactuary.com/2020/12/02/new-domain

Backtesting GEMS® Economic Scenario Generator 2020–2022 https://go.conning.com/rs/461-JPO-444/images/GEMS%20Backtesting%20August%202023%20US.pdf

Towers PErring Global Stochastic Model https://www.actuaries.org/AFIR/colloquia/Nuernberg/Mulvey_Thorlacius.pdf

Stochastic modeling of assets and liabilities with mortality risk https://www.researchgate.net/publication/349155420_Stochastic_modeling_of_assets_and_liabilities_with_mortality_risk

Goldman Sachs Valuation https://www.gspublishing.com/content/research/en/reports/2024/10/18/29e68989-0d2c-4960-bd4b-010a101f711e.html

Analyzing Investments Whose Histories Differ in Length https://papers.ssrn.com/sol3/papers.cfm?abstract_id=225699#paper-citations-widget

msz13 commented 2 months ago

Kryteria:

Equity:

Sprawdzenie:

msz13 commented 2 months ago

Model, który

msz13 commented 2 months ago

Notatki:

msz13 commented 2 months ago

https://www.theemergingmarketsinvestor.com/a-tale-of-two-decades-for-emerging-markets-and-the-sp-500/

msz13 commented 2 months ago

<html xmlns:o="urn:schemas-microsoft-com:office:office" xmlns:x="urn:schemas-microsoft-com:office:excel" xmlns="http://www.w3.org/TR/REC-html40">

  | expectations | stedy mean |   |   | real returns |   |   |   -- | -- | -- | -- | -- | -- | -- | -- | --   |   |   |   |   | equity | returns - const inflation pl |   |   usa | cape adj mean albo earnings growth | pl term | term historical evarage (real sr - 05) |   europe |   |   |   |   | usdpln | zero |   |   |   |   japan |   |   |   |   |   |   |   |   |   |   pacyfic |   |   | current market share | garch model |   |   |   |     |   |   |   |   |   |   |   |   |   |   em | cape adj mean |   |   |   |   |   |   |   |   china |   |   |   |   |   |   |   |   | inflacja | var india |   |   |   |   |   |   |   |   | div | ar taiwan |   |   |   |   |   |   |   |   | sr | var korea |   |   |   |   |   |   |   |   | eq | wielki   |   |   |   |   |   |   |   |   |   |   edo | 1,50% |   |   |   |   |   |   |   |   |     |   |   |   |   |   |   |   |   |   |  

msz13 commented 2 months ago

baye garch https://rdrr.io/cran/bayesDccGarch/man/bayesDccGarch.html

Evolution of economic scenario generators: a report by the Extreme Events Working Party members https://vle.actuaries.org.uk/pluginfile.php/139872/mod_resource/content/1/evolution-of-economic-scenario-generators-a-report-by-the-extreme-events-working-party-members.pdf

msz13 commented 2 months ago

ortec frequency domain long term mean - long term expectation, trend, cycle, high frequency

minus - vies tylko krotkie

inne jest podejscie dfm trendu, jak medium i short series

tak na prawde na kazdym poziomie (short, mdeium, long, ) wymaga inne modelu, i pracy. Za trudne by zrobić