Real-world key correlation calibration: Unconditional correlation targets at end June 2009
Document ID: 2009-1426 (previously 2009/04)
Published on: 12th June 2009
Author: Michelle Barbour, Ruosha Li and Jingyi Liu
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Note: this document has been updated with a more recent version, which you can find here.
In our ESG models we set an unconditional targets for a number of key correlations. These correlations do not necessarily reflect current market conditions but rather the average level we would expect over a very long projection horizon. These are ‘through-the-cycle’ and not ‘point-in-time’ estimates. This note has two purposes. First, we update some of our key cross asset unconditional correlation targets. Second, we provide a set of estimates of monthly correlation. The latter helps understand any major changes in our unconditional targets and can give us an estimate of the range of values the correlations may take.
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from qingjing on 06/15/09