Bootstrapping the economy -- a non-parametric method of generating consistent future scenarios
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More about this item
Keywords
economic scenario generator (ESG); asset-liability management (ALM); bootstrapping; resampling; simulation; Monte-Carlo simulation; non-parametric model; yield curve model;All these keywords.
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
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