When making financial decisions, companies and individuals want to be prepared to face the numerous economic futures that could arise. An Economic Scenario Generator (ESG) uses probabilistic and other mathematical models in order to produce simulations which demonstrate the potential future behavior of stock returns. We built our ESG using Visual Basic for Applications in Microsoft Excel, with the goal of being able to generate simulations of the annual log returns of seven stock indices. The simulations are generated by extrapolating the historical data of these indices, which was analysed with the use of Maximum Likelihood Estimation. The returns generated by our ESG may help investors to view several potential future economic scenarios before making important financial decisions.

• This report represents the work of one or more WPI undergraduate students submitted to the faculty as evidence of completion of a degree requirement. WPI routinely publishes these reports on its website without editorial or peer review.

Creator

• Lee, Erica S.
• Kumar, Rahul Krishna
• Jiang, Hanyi

Publisher

• Worcester Polytechnic Institute

Identifier

• E-project-050320-192340

Advisor

• Abraham, Jon P.
• Posterro, Barry John

Year

• 2020

Date created

• 2020-05-03

Resource type

• Major Qualifying Project

Major

• Actuarial Mathematics

Rights statement

• In Copyright