Parameter Stability in Unstable Markets

March 14, 2023


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. Click here to learn more.
These views and opinions are those of the authors at the time of writing, may be subject to change, are for informational purposes only, and they should not be construed as investment advice or a recommendation for the purchase or sale of securities by Conning. The information may not be current and Conning has no obligation to provide any updates or changes. Individual portfolio management teams for Conning may have views and opinions and/or make investment decisions that, in certain instance, may not always be consistent with the views and opinions expressed therein. While any third-party data used is considered reliable, its accuracy is not guaranteed.