Market Monitor January 2007
Document ID: 2007-864 (previously 01)
Published on: 1st January 2007
This report shows various measures of volatility, correlation and skewness for equity, fixed income and interest-rate markets. It also shows implied distributions for world interest rates and the UK equity market, and statistics relating to the behaviour of credit spreads. The report covers UK, US, Japan, Europe, and Asia as well as some Emerging markets. The values in all of these charts can be compared with long run estimates used in most risk models.
