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Parameter Stability in Unstable Markets

When validating economic scenario generators, one aspect that is often overlooked is parameter stability—the ability of a single set of model parameters to perform consistently well over long periods, in both normal and stressed market environments. And yet, this aspect may be one of the most important ways to assess how well an ESG will model future economic and investment environments. In this new white paper from Conning, Matt Lightwood discusses the importance of parameter stability and compares the robustness of “point-in-time” and “through-the-cycle” parameterizations.

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