Real World Credit Calibration Multi Year Target Update - Municipal Credit End-December 2010
Document ID: 2011-2171
Published on: 12th April 2011
Author: Axel Kirchner, Alexandros Gabrielsen
This note provides our latest multi-year unconditional targets for municipal bond credit spread mean and volatility (expressed as standard deviation). We also show the latest unconditional implied tax term structure and unconditional correlations between the change in US corporate and US municipal credit spreads. With this note, we also introduce the latest municipal bond transition matrix based on end 2010 data. Please note that the municipal bond model is only available to users of ESG 7 and the P+C ESG.
