PROTINUS has many years of experience with creating scenario spaces, which are the main input for simulation models and optimization. We offer the customisation of scenario spaces as a separate service for licensing customers and users of other simulation systems.
Scenario spaces are generated according to the user's desired properties, with PROTINUS helping to define the expectations for these properties based on approaches proven over many years. The scenarios are developed with the help of the PROTINUS Strategy Cockpit™ and made available in common file formats.
Since the beginning, PROTINUS has created scenarios that deviate from simplistic normal distribution assumptions, creating asymmetric, curved and compressed distributions with tail events, as is required for an accurate overall risk assessment. All important higher moments of the distributions can be precisely configured, and the same can be done for the frequency and nature of tail events and dynamic aspects, such as properties of the variables changing conditionally over time.
The economic models used in PROTINUS to generate the scenario spaces enable the creation of scenarios consistent with fundamental variables and returns. "Consistency" means that the processes which determine returns correlate functionally to plausible economic processes for the fundamental factors, such as inflation, GDP and interest rates. A standard example for this would be the high probability of falling (rising) interest rates and low (high) inflation in the context of negative (positive) macroeconomic developments.This leads directly to scenarios with lower (higher) interest income, with simultaneous increases (losses) in bond prices. Such cascading, consistent relationships are part of all scenario spaces designed by PROTINUS.
PROTINUS provides return scenarios for all standard markets as well as for non-standard and partly illiquid markets, such as private equity, private debt, real estate or hedge funds. The asset returns are incorporated either on a total return basis or separately according to changes in market value and recurring payments (coupons, dividends, rents, etc.). Currently, the number of generated scenarios is usually in the range of 1,000 to 10,000. In most, scenario spaces are scaled quarterly, but can also be generated for semi-annual or annual intervals.