Barrie & Hibbert

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Joint Distribution

These articles contain descriptions of joint distributions of different asset classes.

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2011

Oct 2011 End September 2011 Market Consistent Correlation Calibration and Validation

Sep 2011 Real World Modelling and Research: Multi-Year Equity / Interest Rate Correlation Target Update Q3 2011

2010

May 2010 What Is the Parent Equity Asset correlation Model?

2009

Dec 2009 End December 2009 Market Consistent Correlation Calibration

Nov 2009 End September 2009 Market Consistent Correlation Validation

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

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

2008

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

Sep 2008 Model Insights: Bond - Equity Correlation

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

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
• Solvency II Sample Documentation
• Archive

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