Calibration Methodology & Techniques
2010
Jun 2010 Real-world correlation calibration: calibration and validation of correlation targets
May 2010 Real-world inflation modelling: multi-year construction cost calibration
May 2010 What Is the Parent Equity Asset correlation Model?
May 2010 Calibrating the credit model: targeting the spread distribution
May 2010 Real-world credit modelling: multi year RW municipal bond calibration at end-Sep 2009
May 2010 Real-world municipal bond calibration - Municipal bond modelling and target setting
Jan 2010 Real world inflation modelling Real average earnings model: Long-term calibration
2009
Dec 2009 Wedge Models for Alternative Inflation Rates
Nov 2009 Real world inflation modelling: Medical inflation multiplier calibration
Nov 2009 Real world inflation modelling: United States medical cost inflation
Nov 2009 Real world inflation modelling: Projecting CPI inflation for individual Euro-area economies
Oct 2009 Time Varying Term Premium - Targeting the Slope of the Unconditional Yield Curve
Sep 2009 Fitting the Yield Curve: The Nelson Siegel Functional Form
Sep 2009 Time-Varying Term Premium: Controlling Projected Rates
Aug 2009 Real-World Interest Rate Calibration: How to set a target path for interest rates
Jun 2009 Time-varying term premium model calibration and validation, June 2009
May 2009 Libor Market Model: Market Consistent Calibration Methodology
Mar 2009 Time-varying term premium model calibration and validation, March 2009
Feb 2009 Targeting Expected Interest Rates in E2FBK: Time Varying Deterministic Market Prices of Risk
Jan 2009 A Calibration for the UK Property Model
2008
Dec 2008 Time-varying term premium model calibration and validation, December 2008
Dec 2008 Stochastic Volatility Inspired Parameterisation of the Local Volatility Model
Oct 2008 Model Insights: Market-consistent valuation of ultra long-term cash flows
Oct 2008 Real-World Key Correlation: Estimating and explaining the bond-equity return correlation
Sep 2008 A Framework for Estimating and Extrapolating the Term Structure of Interest Rates
Sep 2008 FX Modelling: The Effect of Changing Base Currency on Model Parameters
Aug 2008 Conditional Monte Carlo Allowing for Stochastic Drift in Long-term Implied Volatility Calibration
Aug 2008 Real-World Key Correlation: Correlation Between Inflation, Nominal and Real Returns on 10 year Gover
Jul 2008 No-Arbitrage Conditions for Equity Implied Volatility Surfaces
Jul 2008 Calibration Tools - An Overview of Available Tools
Jun 2008 Time-varying term premium model calibration and validation, June 2008
Jun 2008 Real-World Equity Calibration: Listed Private Equity
2007
Mar 2007 Equity Interest Rate Correlations
2006
Dec 2006 UK Long-Term Equity Data Series
Dec 2006 Credit Model Calibration Methodology: Initialisation of Credit Spreads
Dec 2006 MC Calibration to SA Equity Market
Mar 2006 Calibration of the Best-Estimate Credit Transition Matrix as at end Dec 2005
Feb 2006 Pan-European Property Calibration Notes
Feb 2006 Principal Components Analysis: A Tool for Simplifying Multivariate Data
Jan 2006 Best-Estimate, Comparison of Gamma Parameters in the 2FBK Model
2005
Nov 2005 Calibration Methodology for the Credit Migration Matrix
Mar 2005 LIBOR Market Model: Best-Estimate Calibration
2004
Dec 2004 ESG Correlations Model Set-Up and Calibration (UK)
Sep 2004 Calculating Correlations in the ESG
May 2004 Equity Downside Risk: A Review of Empirical Data & Model Performance
2000
Aug 2000 An Algorithm for Imputing Missing Values in Multivariate Data
Apr 2000 Calibrating a Model for the Stochastic Driver of the Credit Risk
1998
Mar 1998 Confidence Intervals for Correlation