Making Long-Term Assumptions About Corporate Credit Spreads
Document ID: 2009-1288
Published on: 17th February 2009
This note explains a methodology for setting targets for the unconditional distribution of credit spreads of different ratings and maturities.
At the next credit model calibration review, which will take place in 2010, we will aim to calibrate our models to these unconditional targets. In the mean time, the proposed targets could be used in bespoke calibrations for clients that would like their projections to be more aligned with any of these proposed targets. It is worth bearing in mind that any model will have limited degrees of freedom and it may not be possible to meet all of the proposed targets.
