Abstracts
Résumé
Un générateur de scénarios économiques (GSE) est un outil qui permet de projeter des facteurs de risque économiques et financiers. Il s’agit d’un élément important dans le pilotage technique de l’activité d’assurance, notamment dans l’évaluation des provisions économiques, l’allocation stratégique des actifs et la gestion des risques financiers. Dans la littérature, les modèles du GSE que nous rencontrons, sont applicables difficilement en Afrique subsaharienne francophone, principalement à cause de l’insuffisance ou l’inexistence des données. Pour pallier à ce problème, nous proposons, dans cet article, une démarche de conception d’un générateur de scénarios économique pertinent, adapté au contexte de la zone CIPRES.
Mots-clés :
- Générateur de scénarios économiques,
- pilotage technique,
- activité d’assurance,
- évaluation,
- provisions économiques,
- l’allocation stratégique des actifs,
- la gestion des risques financiers,
- conception,
- CIPRES
Abstract
An Economic scenario generator is a tool to project economic and financial risk factors. This is an important element in the technical management of the insurance business, especially in the assessment of economic provisions, strategic asset allocation and management of financial risks. In the literature, the GSE models that we meet are difficult to apply in francophone Sub-Saharan Africa mainly because of inadequate or absence of data. To overcome this problem, we propose in this paper an approach for designing a generator of economic scenarios adapted to the context of CIPRES zone.
Keywords:
- Economic scenario generator,
- technical management,
- insurance business,
- assessment,
- economic provisions,
- strategic asset allocation,
- management of financial risks,
- designing,
- CIPRES
Download the article in PDF to read it.
Download
Appendices
Bibliographie
- [1]. Acharya V. V., et al.(2013) : Liquidity Risk of Corporate Bond Returns - Conditional Approach. Journal of Financial Economics 110(2) : 358–386.
- [2]. Ahlgrim K.C., D’Arcy S.P., Gorvett R.W. (2005) : Modeling Financial Scenarios - A Framework for the Actuarial Profession. Proceedings of the Casualty Actuarial Society, 177-238. http://www.casact.org/pubs/proceed/proceed05/05187.pdf
- [3]. Ahlgrim K.C., D’Arcy S.P., Gorvett R.W. (2008) : A Comparison of Actuarial Financial Scenario Generators. Variance, 2 :1, 2008, pp. 111-134.
- [4]. Amaral L. A. N., et al.(2000) : The Distribution of Returns of Stock Prices. International Journal of Theoretical and Applied Finance 3(3) : 365–369.
- [5]. Black F. (1995) : Interest Rates as Options. Journal of Finance 50(5) : 1371–1376.
- [6]. Black F., Karasinski P. (1991) : Bond and Option Pricing When Short Rates Are Lognormal. Financial Analysts Journal 47 (July) : 52–59.
- [7]. Black F., Scholes M. (1973) : The pricing of options and corporate liabilities. Journal of Political Economy, 1973, pp. 637-654.
- [8]. Bollerslev T., Chou R. Y, Kroner K. F. (1992) : ARCH modelling in finance - A review of the theory and empirical evidence. Journal of Econometrics, 52, 5-39.
- [9]. Bollerslev T., et al.(2013) : Jump Tails, Extreme Dependencies, and the Distribution of Stock Returns. Journal of Econometrics 172 : 307–324.
- [10]. Brennan J. M., Xia Y. (2000) : Dynamic Asset Allocation under Inflation. University of California.
- [11]. Brennan M. J., Schwartz E. S. (1979) : A Continuous-Time Approach to the Pricing of Bonds. Journal of Banking and Finance 3 : 133–155.
- [12]. Cox J. C., Ingersoll J. E., Ross S. A. (1985) : A Theory of the Term Structure of Interest Rates. Econometrica 53 : 385–407.
- [13]. Delbaen F., Shirakawa H. (2002) : An Interest Rate Model with Upper and Lower Bounds. Asia-Pacific Financial Markets 9(3-4) : 191–209.
- [14]. Diebold F. X., Li C. (2006) : Forecasting the Term Structure of Government Bond Yields. Journal of Econometrics 130 : 337–364.
- [15]. Engle R.F. (1982) : Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50, 987-1007.
- [16]. Fair R. C., Malkiel B. G. (1971) : The Determination of Yield Differentials between Debt Instruments of the Same Maturity. Journal of Money, Credit and Banking 3(4) : 733–749.
- [17]. Faleh A. (2011) : Allocation stratégique d’actifs et ALM pour les régimes de retraite. Thèse de doctorat, ISFA.
- [18]. Fisher I. (1930) : The Theory of Interest. New York : Macmillan.
- [19]. Gbongué F. (2015e) : Un modèle de projection des taux sans risque dans la zone CIPRES. Financial Afrik.
- [20]. Gbongué F. (2016a) : Quel modèle de taux pour le marché bancaire de l’UEMOA ? Financial Afrik.
- [21]. Gbongué F. (2016d) : Apport de la courbe des taux sans risque au développement de l’assurance dans la zone CIMA. L’assureur Africain, n°102.
- [22]. Gbongué F., Planchet F. (2015f) : Analyse comparative des modèles de construction d’une courbe de taux sans risque dans la zone CIPRES. Bulletin Français d’Actuariat, Vol 15 n°30, pp 129-168.
- [23]. Gbongué F., Planchet F., Oulidi A. (2015d) : État des lieux des systèmes de retraite en Afrique subsaharienne francophone. Revue subsaharienne d’économie et de finance, n° 5, pp 37-60.
- [24]. Genest, C., Ghoudi, K., and Rivest, L.-P. (1995). A semi parametric estimation procedure of dependence parameters in multivariate families of distributions. Biometrika 82, 543–552.
- [25]. Gourieroux C., Monfort A. (2013) : Linear-Price Term Structure Models. Journal of Empirical Finance 24 : 24–41.
- [26]. Grundke P., Polle S. (2012) : Crisis and Risk Dependencies. European Journal of Operational Research 223(2) : 518–528.
- [27]. Hamori S. (2000) : Volatility of real GDP : some evidence from the United States, the United Kingdom and Japan. Japan and the World Economy, 12, 143-152.
- [28]. Hardy M. (2001) : A regime switching model of long-term stock returns. North American Actuarial Journal 5 (2).
- [29]. Hartmann P., et al.(2004) : Asset Market Linkages in Crisis Periods. Review of Economics and Statistics 86(1) : 313–326.
- [30]. Heath D., Jarrow R., Morton A. (1992) : Bond Pricing and the Term Structure of Interest Rates - A New Methodology for Contingent Claims Valuation. Econometrica 60 : 77–105.
- [31]. Heston S.L. (1993) : A closed-form solution for options with stochastic volatility with application to bond and currency options. The Review of Financial Studies.
- [32]. Hibbert J., Mowbray P., Turnbull C. (2001) : A Stochastic Asset Model & Calibration for Long-Term Financial Planning Purposes, Rapport Barrie & Hibbert Limited. http://www.actuaries.org.uk/__data/assets/pdf_file/0014/26312/hibbert.pdf
- [33]. Hicks J.R. (1946) : Value and capital, Second Edition, Oxford : Clarendon Press. Edition française publiée en 1956, «Valeur et Capital », Dunod.
- [34]. Hilal S., et al.(2011) : Hedging the Black Swan - Conditional Heteroskedasticity and Tail Dependence in S&P500 and VIX. Journal of Banking and Finance 35(9) : 2374–2387.
- [35]. Ho T. S. Y., Lee S.B. (1986) : Term Structure Movements and Pricing Interest Rate Contingent Claims. Journal of Finance 41(5) : 1011–1029. http://www.ressourcesactuarielles.net/jwa/documentation/1226.nsf.
- [36]. Huber P. (1995) : A review of Wilkie’s stochastic asset model. British Actuarial Journal, 1,181-211.
- [37]. Hull J.C., White A. (1994) : Numerical Procedures for Implementing Term Structure Models II : Two-Factor Models. Journal of Derivatives (winter), 37-48.
- [38]. Jarque C.M., Bera A.K. (1980) : Efficient tests for normality, homoscedasticity and serial independence of regression residuals. Economics Letters 6 (3) : 255–259.
- [39]. Jarrow R. A., et al.(1997) : A Markov Model for the Term Structure of Credit Risk Spreads. Review of Financial Studies 10(2) : 481–523.
- [40]. Jarrow R. A., Lando D., Turnbull S. M. (1997) : A Markov Model for the Term Structure of Credit Risk Spreads. Review of Financial Studies 10(2) : 481–523.
- [41]. Jarrow R. A., Turnbull S. M. (1995) : Pricing Derivatives on Financial Securities Subject to Credit Risk. Journal of Finance 50(1) : 53–85.
- [42]. Jiang W., (2012) : Modeling and predicting of different stock markets with GARCH model. Master Thesis in Statistics, Uppsala University, Sweden.
- [43]. Kaut M., Wallace S.W., (2003) : Evaluation of scenario-generation methods for stochastic programming. SPEPS, Working Paper, 14 (http://edoc.hu-berlin.de/series/speps/2003-14/PDF/14.pdf), 2003.
- [44]. Kojadinovic, I. and Yan, J. (2010). Comparison of three semi parametric methods for estimating dependence parameters in copula models. Insurance : Mathematics and Economics 47, 52–63.
- [45]. Kovachev Y., Simeonov D. (2014) : Yield Curve Fitting with Data from Sovereign Bonds. ISBN 978–954–8579–53–7, Bulgarian National Bank.
- [46]. Martellini L., Priaulet P., Priaulet S. (2003) : Fixed-Income Securities : Valuation, Risk Management and Portfolio Strategies. Wiley.
- [47]. Merton R. C. (1973) : Rational Theory of Option Pricing. Bell Journal of Economics and Management Science 4 : 141–183.
- [48]. Mouley S. (2013) : Evolution des notations souveraines et leurs impacts sur l’économie tunisienne. Ecole nationale d’administration, Chaire des Etudes.
- [49]. Mulvey J.M., (1989) : A surplus optimization perspective. Investment Management Review 3.
- [50]. Mulvey J.M., (1996) : Generating scenarios for the Towers Perrin investment system.Interfaces 26.
- [51]. Mulvey J.M., Thorlacius A., (1998) : The Towers Perrin global capital market scenario generation system : CAP: Link. In : Ziemba, W.T., Mulvey, J.M. (Eds.), Worldwide Asset and Liability Modeling. Cambridge University Press.
- [52]. Navas J. F. (2005) : Yield Curve Fitting with Term Structure Models : Empirical Evidence from the Euro Market.
- [53]. Parnes D. (2007) : Time Series Patterns in Credit Ratings. Finance Research Letters 4(4) : 217–226.
- [54]. Pilbeam K., Langeland K. (2015) : Forecasting Exchange Rate Volatility - GARCH Models Versus Implied Volatility Forecasts. International Economics and Economic Policy 12 : 127–142.
- [55]. Planchet F. (2013) : Quel taux de capitalisation des préjudices futurs des victimes. Version 1.2, ISFA.
- [56]. Planchet F., Thérond P.E., Kamega A. (2009) : Scénarios économiques en assurance – Modélisation et simulation. Economica.
- [57]. Redington F. M. (1952) : Review of the Principles of Life-Office Valuations. Journal of the Institute of Actuaries (1886–1994) 78(3) : 286–340.
- [58]. Rogers L. C. G. (1997) : The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates. Mathematical Finance 7 : 157–176.
- [59]. Sen R., (2004) : Modeling the stock price process as a continuous time jump process. PhD Thesis in Statistics, CHICAGO, ILLINOIS.
- [60]. Till M C., (2011) : Actuarial Inference and of Hidden Markov Models. PhD Thesis in Actuarial Science, University of Waterloo, Waterloo, Ontario, Canada.
- [61]. Tilley J. A,(1990) : A Stochastic Yield Curve for Asset/Liability Simulation. Actuarial Approach for Financial Risks : First AFIR International Colloquium, Paris, April 23–27, International Actuarial Association.
- [62]. Wang Y.-C., et al.(2013) : A Revisit to the Dependence Structure between the Stock and Foreign Exchange Markets : A Dependence-Switching Copula Approach. Journal of Banking and Finance 37(5) : 1706–1719.
- [63]. Wilkie A. D. (1992) : Stochastic Investment Model for the 21st Century Actuaries. Transactions of the 24th International Congress of Actuaries 5 : 119–137.
- [64]. Wilkie D. (1984) : Steps towards a comprehensive stochastic model. Occasional Actuarial Research Discussion Paper, The Institute of Actuaries, London, 36 :1-231.
- [65]. Wilkie D. (1986) : A Stochastic Investment Model for Actuarial Use. Transactions of the Faculty of Actuaries, 39 :341-403.
- [66]. Wilkie D. (1995) : More on a Stochastic Model for Actuarial Use. British Actuarial Journal, pp. 777-964.
- [67]. Xiang J., Zhu X. (2013) : A Regime-Switching Nelson-Siegel Term Structure Model and Interest Rate Forecasts. Journal of Financial Econometrics 11(5) : 522–555.