Barrie & Hibbert

Knowledge Base

Knowledge Base » Target Methodology

Target Methodology

2010

Jul 2010 Real-world credit calibration: setting 1-year conditional corporate bond spread targets for USD at end December 2009

May 2010 Real-world interest rate calibration: how to make an assumption for the long term swap spread

May 2010 Interest Rate Calibration: How to Set Long-Term Interest Rates in the Absence of Market Prices

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

May 2010 Real-world municipal bond calibration - Municipal bond modelling and target setting

Apr 2010 Real-world equity calibration Unconditional equity volatility in emerging and developed economies

Mar 2010 Real-world unemployment modelling: US unemployment model and calibration

Mar 2010 Real-rate and inflation calibration: Changes for the end March 2010 calibration

Mar 2010 Calibrating the Dividend Yield Model

Jan 2010 Real world inflation modelling Real average earnings model:  Long-term calibration

Jan 2010 Real-world interest rate calibration: Constructing medium-term inflation forecasts

2009

Nov 2009 Real world inflation modelling: Medical inflation multiplier calibration

Nov 2009 Real world inflation modelling: United States medical cost inflation

Nov 2009 Real world inflation modelling: Projecting CPI inflation for individual Euro-area economies

Aug 2009 Real-World Interest Rate Calibration: How to set a target path for interest rates

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

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

May 2009 Real-world Commodity Calibration.  Making long-term assumptions about commodity prices

Apr 2009 Real-world equity calibration: Target setting methodology for equity

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

Feb 2009 Making Long-Term Assumptions About Corporate Credit Spreads

Jan 2009 A Calibration for the UK Property Model

2008

Dec 2008 Real World Equity Calibration: Comparisons of Different Measures of One Month Equity Volatility at the End November 2008

Nov 2008 How to construct a volatility term-structure of interest rates in the absence of market prices

Nov 2008 Real-world key correlations: Assessing the bond-equity correlation over a one year horizon

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

Sep 2008 Model Insights: Bond - Equity Correlation

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

Jun 2008 Real-World Equity Calibration: Setting Targets for the Equity Risk Premium Across Different Economies

Jun 2008 Real-World Equity Calibration: Listed Private Equity

Jan 2008 Real-World Interest Rate Distribution: End 2007 - 1-year ahead interest rate tails: initial analysis and discussion

2006

Sep 2006 Real World Calibration Notes: Hedge Funds

2005

Nov 2005 Calibration Methodology for the Credit Migration Matrix

2004

Dec 2004 Real-World Key Correlation: Bonds & Equities, Short-term Interest Rates & Equities

Dec 2004 ESG Correlations Model Set-Up and Calibration (UK)