Nobel Laureate Professor Robert Engle and Stern alumnus Emil Siriwardane (PhD '15) of Harvard Business School develop a statistical model to generate probability-based scenarios for forecasting and management of long-term risks. A reduced rank vector autoregression with time-varying volatilities and correlations, the model forecasts transformed daily forward interest rates over a 10-year horizon. The paper was prepared for a special issue of the Journal of Econometrics. Download the full paper here.