Real World Credit Calibration: 1 year conditional target update - Municipal Credit End-June 2011
Document ID: 2011-2236
Published on: 8th July 2011
Author: Axel Kirchner and Alexandros Gabrielsen
This note provides our latest 1 year conditional targets for the standard deviation of municipal bond spreads, a conditional market implied tax term structure and conditional correlations between the change in US corporate and US municipal credit spreads. Please note that the municipal bond model is only available to users of ESG 7 and the P+C ESG.
