Real-world credit modelling: multi year RW municipal bond calibration at end-Sep 2009
Document ID: 2010-1826
Published on: 6th May 2010
Author: Axel Kirchner and Ruosha Li
We have recently set long term unconditional targets for municipal credit spreads. In this note we explain our methodology for calibrating the municipal bond model in the P&C ESG to these targets. Going forward we will re-calibrate the municipal bond model once per year which will take place in Q1.
Li et al. (2009) describe our conditional and unconditional municipal bond spread target setting methodology and our approach to modelling municipal bonds; Clayton and Jessop (2009) provide a technical description of our methodology for estimating the model parameters.
