AXIS Module - Scenariotools

AXIS ScenarioTools Module is a package of tools within AXIS that allows you to generate scenarios, analyze the scenarios, and analyze the results projected when you run the scenarios. A number of different scenario generators are currently available in the ScenarioTools module. Some are designed to generate interest yield curves, some generate equity rates, while one generates both yield curves and equity rates. Also available is an option to generate values on simple user-defined distributions.

The scenario generators available are:

• Yield Curve generators:
  • Correlated Monte Carlo Simulation for Yield Curves (Ravindran 1998) which generates spot yield curve using a risk neutral simulation model.
  • Two Factor Lognormal Model (Boyle and Tan 1998) which is also used to generate spot yield curves.
  • Calibrated Correlated Monte Carlo Simulation which is used to generate spot yield curves that are calibrated to the current and implied market prices.
  • Prescribed CALM Scenarios which generates the 7 CALM prescribed scenarios consistent with the Canadian Standards of Practice for prescribed valuation scenarios.
• Equity generators:
  • Correlated Monte Carlo Simulation for Equities (Ravindran 1998) which generates equity growth rates using a risk neutral simulation model.
  • Correlated Lognormal Equities - Real World which is used to generate equity growth rates in real world approach.
  • Regime Switching Lognormal Model - Real World (Hardy 1999) which is used to simulate growth rates assuming a discrete process that switches between 2 regimes randomly.
• Dual generators:
  • Stochastic Asset Model For Actuarial Use (Wilkie 1995) which is used to generate both the spot yield curves and equity income and growth rates using an actuarial model.
• User-Defined generator:
  • allows you to specify distribution types and parameters for one or more columns in the scenarios using on of the 4 distribution types:
  • Uniform
  • Normal
  • Lognormal
  • Triangular

The "Scenario Analyzer" produces a summary of selected statistics on a group of generated scenarios, which are useful to compare different generates, and to confirm that model parameters are close to the sample parameters.  Reported measures include the mean, standard deviation, skewness, kurtosis, rho, min, max, percentile, and CTE. The ScenarioTools module also includes access to the "Results Analyzer". This tool allows you to produce statistics on various Summary Report results calculated by AXIS under multiple scenarios.  Similar to the Scenario Analyzer, the statistics available in the Results Analyzer include: standard deviation, skewness, kurtosis, rho, min, max, percentile, and CTE.