Economic Scenarios (As a Service)

Economic Scenarios As a Service (ESAS) is a service providing risk-neutral economic scenarios for valuation of embedded options, guarantees, and other financial derivatives. The underlying model follows recommendations published by the Society of Actuaries Economic Scenario Generators A Practical Guide.

The scenarios may include the following interest rates and instruments

  • Discount Factors,
  • Discount Rates,
  • Zero-Bond Prices,
  • Spot Zero Rates,
  • PAR Rates,
  • Forward Zero Rates,
  • Forward Swap Rates,
  • Equity Prices,
  • Foreign-Exchange (FX) Rates.

The service includes the following:

  • Scenarios Data. Calibration of the model to your data, generating economic scenarios for required instruments and formatting the output according to your needs.
  • Calibration and Validation Report. Documentation of calibration results and validation tests of the supplied scenarios based on SOA recommendations.
  • ESAS Technical Documentation. A detailed general description of mathematical models, methods, and validation tests that were used to generate Scenarios Data, and Calibration and Validation Report.

For more practical information, see the ESAS practical guide. In case you are looking for the key technical details please contact us and we will provide you with technical specification.

Sample Example of ESAS Outputs

1000 interest rate scenarios for the horizon of 20 years. The resulting scenarios include two instruments, discount factor discounting from a future time to the present time and scenarios of zero yields of bonds with 5 years to maturity.

Disclaimer: The input data used in the sample files are arbitrarily chosen for presentation purposes only and do not represent real market data. 

Please contact us for further information!


Please contact us for further information!