End September 2009 Market Consistent Correlation Validation
Document ID: 2009-1611
Published on: 24th November 2009
Author: Agata Wronka
In this note we describe the performance of the GBP and EUR market consistent ESG calibrations as at end September 2009 by measuring key correlations produced by the ESG and comparing these to the targets that we have set. Due to the symmetrical nature of correlations within our market consistent calibrations we would expect output correlation performance to be similar for other currency pairs.
