Credit
2010
Jul 2010 Real-world credit calibration 1 year conditional target update end-June 2010
May 2010 Calibrating the credit model: targeting the spread distribution
May 2010 Real-world municipal bond calibration - Municipal bond modelling and target setting
Mar 2010 Real World Credit Calibration: Credit target update Q1 2010
Mar 2010 Real-world credit calibration: Modelling credit risky sovereign bonds
2009
Sep 2009 Real-world credit calibration: Distributional targets at end-September 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
Feb 2009 Making Long-Term Assumptions About Corporate Credit Spreads
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
2008
Nov 2008 Cox Ingersoll Ross Process - Stochastic Volatility and Credit Premium
Mar 2008 Credit Modelling: Simulating Default Distribution
Feb 2008 Credit Calibration - The Effect of Model Time-step
2007
Sep 2007 A General Ratings-based Credit Spread Model
Aug 2007 Calibration of the Credit Correlation Parameter
2006
Dec 2006 Credit Model Calibration Methodology: Initialisation of Credit Spreads
Mar 2006 Calibration of the Best-Estimate Credit Transition Matrix as at end Dec 2005
2005
Nov 2005 Calibration Methodology for the Credit Migration Matrix
Jul 2005 Lower Bound on Credit Spreads
2003
Apr 2003 A Stochastic Model for Credit Spreads
2001
Nov 2001 Pricing Floating Rate Corporate Debt
2000
Jul 2000 Expected Returns Example for Credit-Risky Discount Bond
Apr 2000 Calibrating a Model for the Stochastic Driver of the Credit Risk