Scenario generation
Blufftop has developed a generator of economic scenarios for use in risk management at financial institutions. The generator provides scenarios in the same format as the generator currently (2023) mandated for use by the National Association of Insurance Commissioners (NAIC) for regulatory work in the U.S., but has some advantages over that generator. In particular, the interest rate generator is arbitrage-free, it is consistent with market pricing of fixed-income instruments, and it produces scenarios with the short-rate pinned at zero by the Fed, characteristics which the currently mandated generator lacks.
A short book describing the interest rate generator and the reasons for its development is available for download.
The generator itself is written for 64-bit Windows. The installer (BlufftopScenarioGenerator.msi) can be downloaded by clicking on this link. After downloading the installer, double-click on the file to install the software. If you use Windows Defender, it may flag the intaller as "unrecognized software" and block it initially. If so, click on the "More info" button to see that it IS recognized as being published by Blufftop LLC. If you trust Blufftop LLC, then click the button to "Run anyway". Windows Defender does not "recognize" software that is not widely used, even if digitally signed by the publisher.
Comments on the NAIC scenario generator project
The NAIC is in the process of replacing the generator currently mandated for use. They have tentatively chosen the GEMS generator from Conning. A nationwide field test of that generator was conducted, and the test failed with unsatisfactory results.
Some experts have suggested that Conning's interest rate generator is inappropriate for the NAIC's purpose. Steve Strommen drafted a document discussing Conning's interest rate generator and explaining why it may be appropriate for market-based valuations like those in Solvency II but not appropriate for real-world simulations like those mandated by the NAIC. This opinion was a significant motivator for developing the generator mentioned above. You can download Mr. Strommen's opinion here.