Real-world key correlation calibration; unconditional correlation targets at end December 2009
Document ID: 2010-1849
Published on: 22nd June 2010
Author: Alexandre Pages, Ruosha Li, Axel Kirchner
In this report we summarise recent analysis on some of our key correlation targets at the end of December 2009 and compare the values with previous years and periods. These numbers will be targeted in our real-world multi-year and market consistent calibrations from 2010 Q2.
The validation document can be found here
