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Calibration Notes

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2010

Jul 2010 Financial Markets Update: Q1 and Q2 2010

Jun 2010 End June 2010 - Pre-Calibration Note

May 2010 Real-world inflation modelling: multi-year construction cost calibration

Mar 2010 Pre-Calibration Webinar - End March 2010

Mar 2010 Real World Credit Calibration: Credit target update Q1 2010

Mar 2010 End March 2010 - Pre-Calibration Note

Jan 2010 Quarterly financial markets update: Financial markets in 2009

2009

Dec 2009 End December 2009 Market Consistent Correlation Calibration

Dec 2009 Pre-Calibration Webinar - End December 2009

Nov 2009 End December 2009 - Pre-Calibration Note

Nov 2009 End September 2009 Market Consistent Correlation Validation

Oct 2009 Financial Markets Update Q3 2009

Sep 2009 Pre-Calibration Webinar - End September 2009

Sep 2009 End September 2009 - Pre-Calibration Note

Sep 2009 Real-world interest rate calibration: Distributional targets at end-September 2009

Sep 2009 Real-world credit calibration: Distributional targets at end-September 2009

Sep 2009 Real-world alternative asset calibration: Distributional targets at end-September 2009

Jul 2009 Real-World Correlation Calibration: Calibration and Validation of Correlation Targets

Jul 2009 Financial Markets Update - Q2 2009

Jun 2009 End June 2009 - Pre-Calibration Note

Jun 2009 Real-world key correlation calibration: Unconditional correlation targets at end June 2009

Apr 2009 Real-world equity calibration:  Distributional targets at end March 2009

Apr 2009 Quarterly Financial Markets Update - end March 2009

Mar 2009 Real world credit calibration:  Credit target update at end March 2009

Mar 2009 Real-world credit calibration.  Credit spread targets and ESG output at end Dec 2008

Mar 2009 End March 2009 - Pre-Calibration Note

Jan 2009 Market Consistent Asset Model Calibrations ESG Correlation Results - USD End December 2008

Jan 2009 Market Consistent Asset Model Calibrations ESG Correlation Results - EUR End December 2008

Jan 2009 Swap Spread Model Calibration: GBP at End-December 2008

Jan 2009 Quarterly Financial Markets Update: Developments in Financial Markets in 2008

Jan 2009 Real-World Equity Calibration: Distributional Targets at End-December 2008

Jan 2009 Constructing a yield curve for economies introduced at end December 2008 calibration

2008

Dec 2008 End December Calibrations 2008 - Pre Calibration Note

Dec 2008 Real World Equity Calibration: Comparisons of Different Measures of One Month Equity Volatility at the End November 2008

Oct 2008 End September 2008 RW Equity Calibration

Oct 2008 End September 2008 Real-world interest rate distribution: USD nominal, real and inflation rates

Oct 2008 End September 2008 Real-world interest rate distribution: GBP nominal, real and inflation rates

Oct 2008 End September 2008 Real-world interest rate distribution: EUR nominal, real and inflation rates

Oct 2008 End March 2008 SnP in GBP TVDV

Oct 2008 End September 2008 SnP in GBP Constant Volatility

Oct 2008 End September 2008 Real-World SWAP Global

Oct 2008 End September 2008 Real-World GOVT Global

Oct 2008 End September 2008 Market-Consistent Real Yield Curve USD SWAP

Oct 2008 End September 2008 Real Yield Curve USD SWAP

Oct 2008 End September 2008 Real Yield Curve JPY SWAP v6

Oct 2008 End September 2008 Market-Consistent Real Yield Curve GBP SWAP

Oct 2008 End September 2008 Real Yield Curve GBP SWAP

Oct 2008 End September 2008 Market-Consistent Real Yield Curve GBP GOVT+10 v6

Oct 2008 End September 2008 Real Yield Curve GBP GOVT+10 v6

Oct 2008 End September 2008 Market Consistent Real Yield Curve EUR SWAP

Oct 2008 End September 2008Real Yield Curve EUR SWAP

Oct 2008 End September 2008 Real-World Real Yield Curve CHF SWAP v6

Oct 2008 End September 2008 Real-World Nominal Yield Curve GBP 2VAS SWAP

Oct 2008 End September 2008 Real-World Nominal Yield Curve GBP 2VAS GOVT

Oct 2008 End September 2008 ESTOXX Local Volatility V.6

Oct 2008 End September 2008 NDX Local Volatility v6

Oct 2008 End September 2008 Market-Consistent SWAP Global Calibration File V1

Oct 2008 End September 2008 Market-Consistent GOVT+10 Global Calibration File

Oct 2008 End September 2008 Market-Consistent GOVT Global Calibration File v1

Oct 2008 End September 2008 FTSE Local Volatility

Oct 2008 End September 2008 Real-World Model Calibration INR

Oct 2008 End September 2008 Real-World Model Calibration NZD

Oct 2008 End September 2008 Real-World Model Calibration NOK

Oct 2008 End September 2008 Real-World Model Calibration SGD

Oct 2008 End September 2008 Real-World Model Calibration KRW

Oct 2008 End September 2008 Real-World Model Calibration HKD

Oct 2008 End September 2008 Real-World Model Calibration DNY

Oct 2008 End September 2008 Real-World Model Calibration DKK

Oct 2008 End September 2008 Real-World Model Calibration SEK

Oct 2008 End September 2008 Real-World Model Calibration MYR

Oct 2008 End September 2008 Real-World Model Calibration TWD

Oct 2008 End September 2008 Real-World Model Calibration SKK

Oct 2008 End September 2008 Real-World Model Calibration HUF

Oct 2008 End September 2008 Real-World Model Calibration CZK

Oct 2008 End September 2008 Real-World Model Calibration THB

Oct 2008 End September 2008 Real-World Model Calibration PLN

Oct 2008 End September 2008 Real-World Model Calibration CAD

Oct 2008 End September 2008 Real-World Model Calibration ZAR

Oct 2008 End September 2008 Real-World Model Calibration AUD

Oct 2008 End September 2008 Real-World Model Calibration CHF

Oct 2008 End September 2008 Real-World Model Calibration USD

Oct 2008 End September 2008 Real-World Model Calibration JPY

Oct 2008 End September 2008 Real-World Model Calibration EUR

Oct 2008 End September 2008 Real-World Model Calibration GBP

Oct 2008 End September 2008 Market-Consistent Model Calibration SEK

Oct 2008 End September 2008 Market-Consistent Model Calibration MYR

Oct 2008 End September 2008 Market-Consistent Model Calibration TWD

Oct 2008 End September 2008 Market-Consistent Model Calibration SKK

Oct 2008 End September 2008 Market-Consistent Model Calibration HUF

Oct 2008 End September 2008 Market-Consistent Model Calibration CZK

Oct 2008 End September 2008 Market-Consistent Model Calibration THB

Oct 2008 End September 2008 Market-Consistent Model Calibration AUD

Oct 2008 End September 2008 Market-Consistent Model Calibration CAD

Oct 2008 End September 2008 Market-Consistent Model Calibration PLN

Oct 2008 End September 2008 Market-Consistent Model Calibration ZAR

Oct 2008 End September 2008 Market-Consistent Model Calibration CHF

Oct 2008 End September 2008 Market-Consistent Model Calibration JPY

Sep 2008 End September 2008: Real-world calibration Quarterly financial markets update

Sep 2008 End Septeber 2008 Market-Consistent Model Calibration USD

Sep 2008 End September 2008 Market-Consistent Model Calibration GBP

• Model
  • 2 Factor Black Karasinski Model
  • 2 Factor Vasicek Model
  • Constant Volatility Model
  • Credit Model
  • Equity Mean-Reversion Model
  • Exchange Rate Model
  • General Equity Model
  • Inflation Model
  • Libor Market Model
  • Local Volatility Model
  • Mortality Model
  • Mortgage-Backed Securities Model
  • Other Models
  • Stochastic Volatility & Jump Diffusion Model
  • Time-Varying Deterministic Volatility Model

• Asset Class
  • Alternative Assets
  • Credit
  • Joint Distribution
  • Exchange Rate / Currency
  • Derivatives
  • Equity
  • Inflation
  • Interest Rates
  • Property

• Product Areas
  • Capital Measurement
  • Product Communication & Advice
  • Product Design & Governance
  • Risk & Capital Management

• Sectors
  • Retail Distribution
  • Asset and Wealth Management
  • Consultancy
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  • Pension Fund

Other categories

• Calibration Methodology & Techniques
• Calibration Notes
  • Market Consistent
  • Real World
• Calibration Targets
  • Target Methodology
  • Target Updates
  • Target Validation
• Events
• Insights
• iESG
  • Version 6.2
• Monte Carlo Methodology
  • Correlation Matrices
  • Random Number Generation
  • Variance Reduction
• Numerical Methods
• Outputs & Validation
• Archive

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