Faculty Advisor

Posterro, Barry John

Faculty Advisor

Abraham, Jon P.

Abstract

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.

Publisher

Worcester Polytechnic Institute

Date Accepted

2020-05-03

Major

Actuarial Mathematics

Project Type

Major Qualifying Project

Accessibility

Unrestricted

Advisor Department

Mathematical Sciences

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