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Market Consistent

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2009

Dec 2009 End December 2009 Market Consistent Correlation Calibration

Nov 2009 End September 2009 Market Consistent Correlation Validation

Jun 2009 End June 2009 - Pre-Calibration Note

Jun 2009 End March 2009 Market Consistent Model Calibrations - SEK

Jun 2009 End March 2009 Market Consistent Model Calibrations - MYR

Jun 2009 End March 2009 Market Consistent Model Calibrations - HUF

Jun 2009 End March 2009 Market Consistent Model Calibrations - TWD

Jun 2009 End March 2009 Market Consistent Model Calibrations - THB

Jun 2009 End March 2009 Market Consistent Model Calibrations - CZK

Jun 2009 End March 2009 Market Consistent Model Calibrations - PLN

Jun 2009 End March 2009 Market Consistent Model Calibrations - AUD

Jun 2009 End March 2009 Market Consistent Model Calibrations - CAD

Jun 2009 End March 2009 Market Consistent Model Calibrations - CHF

Jun 2009 End March 2009 Market Consistent Model Calibrations - ZAR

Jun 2009 End March 2009 Market Consistent Model Calibrations - JPY

Jun 2009 End March 2009 Market Consistent Model Calibrations - USD

Jun 2009 End March 2009 Market Consistent Model Calibrations - EUR

Jun 2009 End March 2009 Market Consistent Model Calibrations - GBP

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 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 Market-Consistent Real Yield Curve USD SWAP

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

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

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

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 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 Septeber 2008 Market-Consistent Model Calibration USD

Sep 2008 End September 2008 Market-Consistent Model Calibration GBP

Sep 2008 End September 2008 Market-Consistent Model Calibration EUR

Sep 2008 End September 2008 Pre Calibration Notes and Timetable

Jun 2008 End June 2008 Market-Consistent Asset Model Calibrations EUR

Jun 2008 End June 2008 Market-Consistent Asset Model Calibrations USD

Jun 2008 End June 2008 Market-Consistent GOVT Global

Jun 2008 End June 2008 Market-Consistent Asset Model Calibrations CHF

Jun 2008 End June 2008 Market-Consistent Asset Model Calibrations AUD

Jun 2008 End June 2008 Market Consistent GOVT +10 Global

Jun 2008 End June 2008 Market-Consistent Asset Model Calibrations CZK

Jun 2008 End June 2008 Market-Consistent Asset Model Calibrations SKK

Jun 2008 End June 2008 Market-Consistent Asset Model Calibrations CAD

Jun 2008 End June 2008 Market-Consistent Asset Model Calibrations PLN

Jun 2008 End June 2008 Market-Consistent Asset Model Calibrations MYR

Jun 2008 End June 2008 Market-Consistent Asset Model Calibrations JPY

Jun 2008 End June 2008 Market-Consistent Asset Model Calibrations HUF

Jun 2008 End June 2008 Market-Consistent Asset Model Calibrations TWD

Jun 2008 End June 2008 Market-Consistent Asset Model Calibrations ZAR

Jun 2008 End June 2008 Market-Consistent SWAP Global

Jun 2008 End June 2008 Market-Consistent Asset Model Calibrations THB

Jun 2008 End June 2008 Market-Consistent Asset Model Calibrations GBP

Mar 2008 End March 2008 Market-Consistent Asset Model Calibrations GBP

Mar 2008 End March 2008 Market-Consistent Asset Model Calibrations CZK

Mar 2008 End March 2008 Market-Consistent GOVT Global

Mar 2008 End March 2008 Market-Consistent Asset Model Calibrations S&P in GBP

Mar 2008 End March 2008 Market-Consistent Asset Model Calibrations HUF

Mar 2008 End March 2008 Market-Consistent SWAP Global

Mar 2008 End March 2008 Market-Consistent Asset Model Calibrations PLN

Mar 2008 End March 2008 Market-Consistent GOVT+10 Global

Mar 2008 End March 2008 Market-Consistent Asset Model Calibrations MYR

Mar 2008 End March 2008 Market-Consistent Asset Model Calibrations THB

Mar 2008 End March 2008 Market-Consistent Asset Model Calibrations SKK

Mar 2008 End March 2008 Market-Consistent Asset Model Calibrations AUD

Mar 2008 End March 2008 Market-Consistent Asset Model Calibrations CAD

Mar 2008 End March 2008 Market-Consistent Asset Model Calibrations TWD

Mar 2008 End March 2008 Market-Consistent Data Template

2007

Dec 2007 End December 2007 Market-Consistent SWAP Global

Dec 2007 End December 2007 Market-Consistent GOVT Global

Dec 2007 End December 2007 Market Consistent GOVT+10 GBP Calibration File v4.7+

Dec 2007 End December 2007 Market-Consistent GOVT+10 Global

Dec 2007 End March 2006 Market-consistent SWAP GBP Calibration file v.4.7+

Dec 2007 End December 2007 Market Consistent GOVT GBP Calibration File v4.7+

Oct 2007 End September 2007 Market-Consistent Asset Model Calibrations - GBP

Oct 2007 End September 2007 Market-Consistent Asset Model Calibrations - USD Equities in Sterling Terms

Sep 2007 End September 2007 Market-Consistent GOVT+10 Global Calibration File v4.7+

Sep 2007 End September 2007 Market-Consistent GOVT Global Calibration File v4.7+

Sep 2007 End September 2007 Market-Consistent Asset Model Calibrations GBP

Sep 2007 End September 2007 Market-Consistent GOVT GBP Calibration File v4.7+

Sep 2007 End September 2007 Market-Consistent SWAP Global Calibration File v4.7+

Sep 2007 End September 2007 Market-Consistent SWAP GBP Calibration File v4.7+

Sep 2007 End September 2007 Market-Consistent Asset Model Calibrations for non-UK Economies

Jun 2007 End June 2007 Market-Consistent GOVT+10 Global Calibration File v4.7+

Jun 2007 End June 2007 Market-Consistent SWAP Global Calibration File v4.7+

Jun 2007 End June 2007 Market-Consistent Asset Model Calibrations - GBP

Jun 2007 End June 2007 Market-Consistent SWAP GBP Calibration File v4.7

• 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

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