Real-world credit calibration: Distributional targets at end-September 2009
Document ID: 2009-1537 (previously 2009/07)
Published on: 11th September 2009
Author: Ruosha Li
This note updates our targets for the unconditional distribution of the level and volatility of corporate credit spreads. This note also incorporates some analysis on corporate credit spreads in the US and analyses recent changes in corporate credit spreads in a historical context. The level of credit spreads and short term volatility remain elevated in a historical context.
