Scenario types
| Key | Description |
|---|---|
| historicalReturns | The scenarios are obained from the last 2 years of prices changes (relative returns) |
| historicalInnovations | The scenarios are obtained from the last 2 years of innovations (returns discounted by the volatility), multiplied by a forecast for the volatility up to the risk horizon. The volatilities are obtained from a long memory ARCH process. |