Barrie & Hibbert

Knowledge Base » Calibration Targets

Calibration Targets

Sort and Filter Options Show all articles Filter by Model Filter by Asset Class Filter by Product Area Filter by Sector

2010

Jul 2010 Real world municipal bond calibration 1 year conditional target update end-June 2010

Jul 2010 Real-world credit calibration 1 year conditional target update end-June 2010

Jul 2010 Real-world credit calibration: setting 1-year conditional corporate bond spread targets for USD at end December 2009

Jul 2010 Real-world equity calibration Distributional targets end-June 2010

May 2010 Interest Rate Calibration: How to Set Long-Term Interest Rates in the Absence of Market Prices

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

May 2010 Real-world municipal bond calibration - Municipal bond modelling and target setting

Apr 2010 Real-world alternative asset calibration: Distributional targets at end-March 2010

Mar 2010 Real-rate and inflation calibration: Changes for the end March 2010 calibration

Mar 2010 Calibrating the Dividend Yield Model

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

Jan 2010 Real world inflation modelling Real average earnings model:  Long-term calibration

2009

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

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

Aug 2009 Real-World Interest Rate Calibration: How to set a target path for interest rates

Jul 2009 Real-world key correlations: The unconditional correlation between real short rate changes and equity excess returns

Jul 2009 Real-world key correlations: The unconditional correlation between equity returns and index linked bonds returns

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

Jul 2009 Real-world equity calibration - Distributional targets at end June 2009

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

May 2009 Real-world Commodity Calibration.  Making long-term assumptions about commodity prices

Apr 2009 Real-world equity calibration: Target setting methodology for equity

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

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

Mar 2009 Real-world key correlations.  The conditional correlation between short rate changes and equity returns

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

Feb 2009 Making Long-Term Assumptions About Corporate Credit Spreads

Jan 2009 A Calibration for the UK Property Model

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

2008

Dec 2008 Real-World Credit Calibration: The Transition Matrix

Nov 2008 How to construct a volatility term-structure of interest rates in the absence of market prices

Nov 2008 Real-world key correlations: Assessing the bond-equity correlation over a one year horizon

Oct 2008 Real-World Key Correlation: Estimating and explaining the bond-equity return correlation

Sep 2008 Model Insights: Bond - Equity Correlation

Aug 2008 Real-World Key Correlation: Correlation Between Inflation, Nominal and Real Returns on 10 year Gover

Jul 2008 End June 2008 Real-World Equity Calibration: Distributional Targets

Jun 2008 Real-World Equity Calibration: Setting Targets for the Equity Risk Premium Across Different Economies

Jun 2008 Real-World Equity Calibration: Listed Private Equity

Apr 2008 End December 2007 Real-World Equity Calibration: Distributional Targets

Mar 2008 End March 2008 Real-World Equity Calibration: Distributional Targets

Jan 2008 Real-World Interest Rate Distribution: End 2007 - 1-year ahead interest rate tails: initial analysis and discussion

2006

Sep 2006 Real World Calibration Notes: Hedge Funds

Feb 2006 Pan-European Property Calibration Notes

2005

Nov 2005 Calibration Methodology for the Credit Migration Matrix

2004

Dec 2004 Real-World Key Correlation: Bonds & Equities, Short-term Interest Rates & Equities

Dec 2004 ESG Correlations Model Set-Up and Calibration (UK)

• 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
  • Insurance
  • 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

Frequently Asked Questions

View all Frequently Asked Questions »