Stochastic Scenarios in PolyPaths
Pre-canned deterministic scenarios such as parallel interest rate shocks or a limiting amount of stressed scenarios such as an adverse scenario do not paint a complete a picture of the underlying risk. Users in PolyPaths can seamlessly generate any number of stochastic scenarios on the fly. PolyPaths Stochastic Scenarios framework leverages our three factor interest rate model to create scenarios that follow the month-to-month rate paths implied from the BGM model. To learn more clients can watch our webinar on stochastic scenarios here. Contact us at support@polypaths.com for more details or help in setting up these scenarios.