Extending Beyond Asset Prices

In our earlier use cases, we focused on generating realistic synthetic asset returns — first for individual stocks, and then for portfolios of correlated equities — using the UNCRi framework. These simulations replicated key features of financial time series, such as volatility clustering and cross-asset dependencies, providing powerful tools for risk modeling and strategy testing.

This third use case takes the framework a step further: rather than simulating asset prices alone, we now aim to model the joint evolution of financial and macroeconomic variables. Specifically, we are generating synthetic yield curves that respond dynamically to macroeconomic indicators such as inflation, GDP growth, unemployment, and central bank policy rates.

Modeling Macro-Financial Environments

Understanding how yield curves respond to macroeconomic conditions is critical for interest rate modeling, scenario analysis, and stress testing. At Skanalytix, we’re developing a new approach to simulate entire macro-financial environments — generating synthetic yield curves that evolve coherently alongside key economic indicators.

Traditional yield curve models often reduce the curve to a few latent factors or model rates in isolation, divorced from broader economic context. By contrast, our approach captures joint dependencies across multiple dimensions — producing synthetic time series that reflect realistic macroeconomic regimes and market behavior.

Applications and Value

This capability enables:

📉 Stress-testing fixed income portfolios under custom macroeconomic scenarios
🧠 Training machine learning models on rich, macro-consistent historical alternatives
🔍 Exploring yield dynamics under rare or hypothetical economic conditions
📈 Predicting interest rate movements using simulations that reflect macroeconomic drivers

What's Next

📊 Results coming soon. We are currently running simulations to generate and evaluate synthetic yield curve data under a variety of economic regimes. Outputs will demonstrate how macroeconomic factors and bond yields evolve together across time.