Credit Model
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 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
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
Jan 2009 Market Consistent Asset Model Calibrations ESG Correlation results - GBP End December 2008
2008
Dec 2008 Real-World Credit Calibration: The Transition Matrix
Nov 2008 Cox Ingersoll Ross Process - Stochastic Volatility and Credit Premium
Mar 2008 Credit Modelling: Simulating Default Distribution
2007
Sep 2007 A General Ratings-based Credit Spread Model
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
2000
Jul 2000 Expected Returns Example for Credit-Risky Discount Bond
Apr 2000 Calibrating a Model for the Stochastic Driver of the Credit Risk