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Les générateurs de Scénarios Économiques : de la conception à la mesure de la qualité

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Author Info

  • Alaeddine Faleh

    (SAF - Laboratoire de Sciences Actuarielle et Financière - Université Claude Bernard - Lyon I : EA2429)

  • Frédéric Planchet

    ()
    (SAF - Laboratoire de Sciences Actuarielle et Financière - Université Claude Bernard - Lyon I : EA2429)

  • Didier Rullière

    (SAF - Laboratoire de Sciences Actuarielle et Financière - Université Claude Bernard - Lyon I : EA2429)

Abstract

Dans cet article, nous mettons en évidence les principales composantes d'un générateur de scénarios économiques (GSE) que ce soit au niveau de sa conception théorique ou au niveau de sa mise en oeuvre pratique. Le choix de ces composantes est supposé être lié à la vocation finale du générateur de scénarios économiques que ce soit en tant qu'outil d'évaluation des produits financiers (pricing) ou en tant qu'outil de projection et de gestion des risques. Par ailleurs, nous développons une étude sur certains indicateurs de mesure de la performance du GSE comme un outil en amont du processus de prise de décision: à savoir la stabilité et l'absence de biais. Une application numérique permettant d'illustrer ces différents points est présentée à la fin.

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Bibliographic Info

Paper provided by HAL in its series Post-Print with number hal-00530868.

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Date of creation: 01 Jul 2010
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Publication status: Published, Assurances et Gestion des Risques, 2010, 78, 1, 1-30
Handle: RePEc:hal:journl:hal-00530868

Note: View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00530868/en/
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Related research

Keywords: Générateur de scénarios économiques; modèles d'actifs;

This paper has been announced in the following NEP Reports:

References

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  1. Ho, Thomas S Y & Lee, Sang-bin, 1986. " Term Structure Movements and Pricing Interest Rate Contingent Claims," Journal of Finance, American Finance Association, vol. 41(5), pages 1011-29, December.
  2. Merton, Robert C., 1975. "Option pricing when underlying stock returns are discontinuous," Working papers 787-75., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  3. Campbell, John Y & Chan, Yeung Lewis & Viceira, Luis M, 2001. "A Multivariate Model of Strategic Asset Allocation," CEPR Discussion Papers 3070, C.E.P.R. Discussion Papers.
  4. Brennan, Michael J. & Schwartz, Eduardo S., 1982. "An Equilibrium Model of Bond Pricing and a Test of Market Efficiency," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 17(03), pages 301-329, September.
  5. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March.
  6. Kouwenberg, Roy, 2001. "Scenario generation and stochastic programming models for asset liability management," European Journal of Operational Research, Elsevier, vol. 134(2), pages 279-292, October.
  7. Heath, David & Jarrow, Robert & Morton, Andrew, 1992. "Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation," Econometrica, Econometric Society, vol. 60(1), pages 77-105, January.
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Citations

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Cited by:
  1. Alaeddine Faleh, 2011. "Un modèle de programmation stochastique pour l'allocation stratégique d'actifs d'un régime de retraite partiellement provisionné," Working Papers hal-00561965, HAL.

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