Scenario Service
Scenario Service
Barrie and Hibbert scenarios have been regularly used by most of the large global insurers over the last decade and are increasingly being used by pension funds and asset managers keen to understand and manage their market risks.
Our scenarios describe plausible paths of economic variables that are related in an economically coherent way and are generated by our award winning modelling framework, supported by our team of economists and financial modellers
The Service
We understand the need to know what is under the hood and so provide much more than a file of numbers. Our aim is to provide all you need to fully understand the scenario outputs and meet regulatory demands, including documentation describing:
- the full technical details of the models,
- the economic assumptions and how they are set,
- how the model was calibrated and
- validation that the results are reasonable.
In addition we have a team dedicated to answering your questions and explaining our models and methods. All clients have access to our client only economic and stochastic modelling research library and invitations to our global events and conferences.
Features:
- Economically coherent joint distributions produced by an arbitrage free modelling framework under both risk-neutral and real-world probability measures.
- Generated using sophisticated models that realistically capture the dynamics of financial markets, including tail-risk.
- Suitable for all problems that require paths from one year to the ultra-long time horizons, with monthly or annual time steps.
- Regular calibrations to market prices and assumptions developed and frequently reviewed by a team of economists.
- Configurable solution to meet problem and client specific demands.
- Wide coverage of economies, risk factors, assets and outputs with quarterly calibrations as standard.
