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Real World

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2011

Dec 2011 End-December 2011 pre-calibration note

Dec 2011 GDP Modelling

Nov 2011 G2x Calibration Methods - Real World Multi Year and 1-Year VaR

Sep 2011 End September 2011 Pre-calibration Note

Jul 2011 Financial Markets Update Q1 and Q2 2011

Jun 2011 End-June 2011 - Pre-Calibration Note

Mar 2011 End-March 2011 - Pre-Calibration Note

Jan 2011 1-year real-world projection of equity implied volatility: Modelling and calibration methodology

2010

Dec 2010 End December 2010 - Pre-Calibration Note

Sep 2010 End September 2010 -Pre-Calibration Note

Jul 2010 Financial Markets Update: Q1 and Q2 2010

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

May 2010 Real-world credit modelling: multi year RW municipal bond calibration at end-Sep 2009

Apr 2010 Real-world equity calibration Distributional targets at end-March 2010

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

Mar 2010 Real-world credit calibration: Modelling credit risky sovereign bonds

Mar 2010 Mortgage backed securities calibration, USD end December 2009

Jan 2010 Quarterly financial markets update: Financial markets in 2009

2009

Oct 2009 Financial Markets Update Q3 2009

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

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

Jul 2009 Financial Markets Update - Q2 2009

Jun 2009 End June 2009 - Pre-Calibration Note

Jun 2009 End March 2009 Real-World Model Calibration BRL

Jun 2009 End March 2009 Real-World Model Calibration MXN

Jun 2009 End March 2009 Real-World Model Calibration ARS

Jun 2009 End March 2009 Real-World Model Calibration RUB

Jun 2009 End March 2009 Real-World Model Calibration NZD

Jun 2009 End March 2009 Real-World Model Calibration INR

Jun 2009 End March 2009 Real-World Model Calibration NOK

Jun 2009 End March 2009 Real-World Model Calibration MYR

Jun 2009 End March 2009 Real-World Model Calibration SGD

Jun 2009 End March 2009 Real-World Model Calibration SEK

Jun 2009 End March 2009 Real-World Model Calibration HKD

Jun 2009 End March 2009 Real-World Model Calibration KRW

Jun 2009 End March 2009 Real-World Model Calibration DKK

Jun 2009 End March 2009 Real-World Model Calibration CNY

Jun 2009 End March 2009 Real-World Model Calibration TWD

Jun 2009 End March 2009 Real-World Model Calibration CZK

Jun 2009 End March 2009 Real-World Model Calibration THB

Jun 2009 End March 2009 Real-World Model Calibration HUF

Jun 2009 End March 2009 Real-World Model Calibration CAD

Jun 2009 End March 2009 Real-World Model Calibration PLN

Jun 2009 End March 2009 Real-World Model Calibration AUD

Jun 2009 End March 2009 Real-World Model Calibration ZAR

Jun 2009 End March 2009 Real-World Model Calibration JPY

Jun 2009 End March 2009 Real-World Model Calibration CHF

Jun 2009 End March 2009 Real-World Model Calibration EUR

Jun 2009 End March 2009 Real-World Model Calibration USD

Jun 2009 End March 2009 Real-World Model Calibration GBP

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

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 credit calibration.  Credit spread targets and ESG output at end Dec 2008

Mar 2009 End March 2009 - Pre-Calibration Note

Feb 2009 Targeting Expected Interest Rates in E2FBK:  Time Varying Deterministic Market Prices of Risk

Jan 2009 Swap Spread Model Calibration: GBP at End-December 2008

Jan 2009 Quarterly Financial Markets Update: Developments in Financial Markets in 2008

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

Jan 2009 Constructing a yield curve for economies introduced at end December 2008 calibration

2008

Dec 2008 Real-World Credit Calibration: The Transition Matrix

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 RW Equity Calibration

Oct 2008 End September 2008 Real-world interest rate distribution: USD nominal, real and inflation rates

Oct 2008 End September 2008 Real-world interest rate distribution: GBP nominal, real and inflation rates

Oct 2008 End September 2008 Real-world interest rate distribution: EUR nominal, real and inflation rates

Oct 2008 End September 2008 Real-World SWAP Global

Oct 2008 End September 2008 Real-World GOVT Global

Oct 2008 End September 2008 Real Yield Curve USD SWAP

Oct 2008 End September 2008 Real Yield Curve JPY SWAP v6

Oct 2008 End September 2008 Real Yield Curve GBP SWAP

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

Oct 2008 End September 2008Real Yield Curve EUR SWAP

Oct 2008 End September 2008 Real-World Real Yield Curve CHF SWAP v6

Oct 2008 End September 2008 Real-World Nominal Yield Curve GBP 2VAS GOVT

Oct 2008 End September 2008 Real-World Model Calibration INR

Oct 2008 End September 2008 Real-World Model Calibration NZD

Oct 2008 End September 2008 Real-World Model Calibration NOK

Oct 2008 End September 2008 Real-World Model Calibration SGD

Oct 2008 End September 2008 Real-World Model Calibration KRW

Oct 2008 End September 2008 Real-World Model Calibration HKD

Oct 2008 End September 2008 Real-World Model Calibration DNY

Oct 2008 End September 2008 Real-World Model Calibration DKK

Oct 2008 End September 2008 Real-World Model Calibration SEK

Oct 2008 End September 2008 Real-World Model Calibration MYR

Oct 2008 End September 2008 Real-World Model Calibration TWD

Oct 2008 End September 2008 Real-World Model Calibration SKK

Oct 2008 End September 2008 Real-World Model Calibration HUF

Oct 2008 End September 2008 Real-World Model Calibration CZK

Oct 2008 End September 2008 Real-World Model Calibration THB

Oct 2008 End September 2008 Real-World Model Calibration PLN

Oct 2008 End September 2008 Real-World Model Calibration CAD

Oct 2008 End September 2008 Real-World Model Calibration ZAR

Oct 2008 End September 2008 Real-World Model Calibration AUD

Oct 2008 End September 2008 Real-World Model Calibration CHF

Oct 2008 End September 2008 Real-World Model Calibration USD

Oct 2008 End September 2008 Real-World Model Calibration JPY

• 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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