This repository contains all the code and documents relating to my BYU master's project. The goal of the project was to analyze the risk associated with retirement plans under a stochastic framework via a cascade-style Economic Scenario Generator (ESG).
These files contain all the exploratory work done to create the final models implemented in the ESG
This script implements all pieces of the ESG and applies simulated draws to hypothetical retirement plans consisting of variable annuitization and spending rates.
These are saved fitted model objects that make up the ESG
These folders contain all files and scripts related to the data used to fit the ESG. Interest rate and inflation data was obtained from the Federal Reserve Bank of St. Louis Website (https://fred.stlouisfed.org/) and Stock Market data was obtained from the tidyfinance package
This file contains all the functions necessary to extract simulated draws from the ESG
Contains important documents/presentation files related to the presentation of the project.
- ESGPaper.pdf is the final paper describing the project
- DefensePresentation.pdf is the presentation file used for project defense