27 Sep How effective are your Scenarios?
Many business functions use automatically generated scenarios for pricing, hedging, and meeting regulatory and accounting requirements. These scenarios are generated with certain probabilities: real, risk-neutral, and so-called market-consistent ones. Some of these probabilities are appropriate for only one type of application, others for different ones. So is it possible to consistently combine them in automated scenario generation to make it suitable for all applications? Find out, with Alla Gil’s latest column in GARP, which you can read here.