Real-world municipal bond calibration - Municipal bond modelling and target setting
Document ID: 2010-1825
Published on: 6th May 2010
Author: Ruosha Li, Axel Kirchner and Steffen Sorenson
In this note we explain our approach to modelling municipal bonds including our methodology for deriving an implied tax term-structure and setting a multi-year unconditional target for municipal bond volatility across different ratings. We also explain our methodology to set a one year conditional (“point-in-time”) target for comparison.
