A Student-t Copula Economic Scenario Generator for Emerging-Market Liability-Driven Investment: Density Forecasting, Tail Dependence, and Indonesian Evidence
Pension funds and insurers in emerging markets size long-horizon capital with economic scenario generators (ESGs)—econometrically, simulators of a multivariate predictive density. The production benchmark draws its innovations by Gaussian Cholesky factorization, forcing thin marginal tails and zero joint tail dependenc...