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

Listed author(s):
  • Alaeddine Faleh

    (SAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1)

  • Frédéric Planchet


    (SAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1)

  • Didier Rullière

    (SAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1)

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

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Date of creation: 01 Jul 2010
Publication status: Published in Assurances et gestion des risques, 2010, 78 (1), pp.1-30
Handle: RePEc:hal:journl:hal-00530868
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  1. 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.
  2. Jitka Dupačová & Giorgio Consigli & Stein Wallace, 2000. "Scenarios for Multistage Stochastic Programs," Annals of Operations Research, Springer, vol. 100(1), pages 25-53, December.
  3. 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.
  4. Dyson, A.C.L. & Exley, C.J., 1995. "Pension Fund Asset Valuation and Investment," British Actuarial Journal, Cambridge University Press, vol. 1(03), pages 471-557, August.
  5. David Heath & Robert Jarrow & Andrew Morton, 2008. "Bond Pricing And The Term Structure Of Interest Rates: A New Methodology For Contingent Claims Valuation," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 13, pages 277-305 World Scientific Publishing Co. Pte. Ltd..
  6. Merton, Robert C., 1976. "Option pricing when underlying stock returns are discontinuous," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144.
  7. John Y. Campbell & Yeung Lewis Chan & Luis M. Viceira, 2001. "A Multivariate Model of Strategic Asset Allocation," NBER Working Papers 8566, National Bureau of Economic Research, Inc.
  8. 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.
  9. Dyson, A.C.L. & Exley, C.J., 1995. "Pension Fund Asset Valuation and Investment," British Actuarial Journal, Cambridge University Press, vol. 1(05), pages 965-977, December.
  10. 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 1011-1029, December.
  11. Smith, A.D., 1996. "How Actuaries Can Use Financial Economics," British Actuarial Journal, Cambridge University Press, vol. 2(05), pages 1057-1193, December.
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