Products and Services
Scenario Service Request Helplkj
Calibration
Our Market-Consistent Calibrations are used to derive a fair value for today’s balance sheet. We have two different calibrations which use the either Government Bonds or Swap rates as the underlying risk-free initial yield curve. We use market data from the last trading day of each calendar quarter (i.e. 31st March, 30th June, 30th September, 31st December).
Our Real-World Calibration is used for long-term projections of asset returns for capital calculation and management. These calibrations are based on our team of economist’s long-term assumptions of market behaviour. We also update these calibrations quarterly to recent current market changes.
Economy
Use this box to select the economy you are interested in modelling. The economies we offer depend on calibration type (see below). Please also note that the choice of economy also affects the availability of the equity package.
If we don’t have the economy you are interested we still may be able to help – please select Other and fill in the details in the “Other Requirements” box.
We are also able to provide consistent multi-economy modelling, if you are interested please select Other and note your requirments in the “Other Requirements” box.
Market Consistent
Since our Market Consistent coverage depends on available data we currently offer the current economy and package combinations:
| Region | Economy | Package | |||
|---|---|---|---|---|---|
| Interest | Bonds | Equities | Property | ||
| Europe, Middle East And Africa | Eurozone | ✓ | ✓ | ✓ | ✓ |
| Hungary | ✓ | ✓ | ✓ | ||
| Poland | ✓ | ✓ | ✓ | ||
| Slovakia | ✓ | ✓ | ✓ | ||
| South Africa | ✓ | ✓ | ✓ | ✓ | |
| Switzerland | ✓ | ✓ | ✓ | ✓ | |
| UK | ✓ | ✓ | ✓ | ✓ | |
| Asia Pacific | Australia | ✓ | ✓ | ✓ | ✓ |
| Japan | ✓ | ✓ | ✓ | ✓ | |
| Americas | Canada | ✓ | ✓ | ✓ | ✓ |
| USA | ✓ | ✓ | ✓ | ✓ | |
Real World
Our Real World calibrations are based on unconditional long-term targets so we are able to offer more economies. We currently offer the following economy package combinations:
| Region | Economy | Package | |||
|---|---|---|---|---|---|
| Interest | Bonds | Equities | Property | ||
| Europe, Middle East And Africa | Czech Republic | ✓ | ✓ | ✓ | ✓ |
| Denmark | ✓ | ✓ | ✓ | ✓ | |
| Eurozone | ✓ | ✓ | ✓ | ✓ | |
| Hungary | ✓ | ✓ | ✓ | ✓ | |
| Norway | ✓ | ✓ | ✓ | ✓ | |
| Poland | ✓ | ✓ | ✓ | ✓ | |
| Slovakia | ✓ | ✓ | ✓ | ✓ | |
| South Africa | ✓ | ✓ | ✓ | ✓ | |
| Sweden | ✓ | ✓ | ✓ | ✓ | |
| Switzerland | ✓ | ✓ | ✓ | ✓ | |
| UK | ✓ | ✓ | ✓ | ✓ | |
| Asia Pacific | Australia | ✓ | ✓ | ✓ | ✓ |
| China | ✓ | ✓ | ✓ | ||
| Hong Kong | ✓ | ✓ | ✓ | ||
| India | ✓ | ✓ | ✓ | ||
| Japan | ✓ | ✓ | ✓ | ✓ | |
| Malaysia | ✓ | ✓ | ✓ | ||
| New Zealand | ✓ | ✓ | ✓ | ✓ | |
| S. Korea | ✓ | ✓ | ✓ | ||
| Singapore | ✓ | ✓ | ✓ | ✓ | |
| Taiwan | ✓ | ✓ | ✓ | ||
| Thailand | ✓ | ✓ | ✓ | ||
| Americas | Canada | ✓ | ✓ | ✓ | ✓ |
| USA | ✓ | ✓ | ✓ | ✓ | |
Calibration Date
We typically recommend using the most recent date. If you want to use a different date please select Other and specify this in the “Other Requirements” box.
Number of Trials
Select the number of trials you are interested in running. If you want to run more trials please select Other and specify how many in the “Other Requirements” box.
Time Steps
Please select if you need monthly or annual output. Note that monthly output files can be very large. If you have other requirements please select Other and specify these in the “Other Requirements” box.
Time Horizon
Select the time horizon you are interested in and we will provide outputs up to that horizon. If you have other requirements please select Other and specify these in the “Other Requirements” box.
Output File Type
We are currently only providing .csv format as standard, but can provide other formats if requested. If you have other requirements please select Other and specify these in the “Other Requirements” box.
Preferred Outputs
Please select one of our two standard output types or specify your own by selecting Other and adding the detail in the “Other Requirements” box.
Returns and Yields:
We produce the following outputs for the four packages:
| Package | Outputs |
|---|---|
| Interest Rate | Nominal Spot Rates for Risk-Free Zero-Coupon bonds with 1-30 year terms |
| Real Spot Rates for a Risk-Free Zero-Coupon bonds for 1-30 year terms | |
| Nominal Cash Total Return | |
| Change in Inflation | |
| Bonds | For Govt, AAA,AA,A and BBB rated bond indices with 5, 10 ,15 and 30 maturities: |
| Total Return | |
| Price Change | |
| Redemption Yield | |
| Equity | Total Return |
| Price Change | |
| Dividend Yield | |
| Property | Total Return |
| Price Change | |
| Rental Yield |
Indices and Prices
We produce the following outputs for the four packages:
| Package | Outputs |
|---|---|
| Interest Rate | Prices for Nominal Risk-Free Zero-Coupon Bonds with 1-30 year terms |
| Prices for Real Risk-Free Zero-Coupon Bonds with 1-30 year terms | |
| Nominal Cash Total Return Index | |
| Inflation Index | |
| Bonds | For Govt, AAA,AA,A and BBB rated bond indices with 5, 10, 15 and 30 maturities: |
| Total Return Index | |
| Price Index | |
| Redemption Yield | |
| Equity | Total Return Index |
| Price Index | |
| Dividend Yield | |
| Property | Total Return Index |
| Price Index | |
| Rental Yield |
Output Layout
Please select one of our two layouts or specify your own by selecting Other and adding the detail in the “Other Requirements” box.
Trial/Timestep – lists the outputs for each of the parameters, ordered by trial and timestep. For example:
| Trial | Timestep | Output1 | Output2 | .... |
|---|---|---|---|---|
| 1 | 1 | 1.10 | 1.23 | .... |
| 1 | 2 | 1.11 | 1.03 | .... |
| ... | ... | ... | ... | .... |
Trial/Parameter – lists the outputs for each timestep, ordered by trial and parameter. For example:
| Trial | Parameter | Timestep1 | Timestep2 | .... |
|---|---|---|---|---|
| 1 | Output1 | 1.10 | 1.11 | .... |
| 1 | Output2 | 1.23 | 1.03 | .... |
| ... | ... | ... | ... | .... |
Frequency of Service
Please select how often you would like to receive these Scenarios with updated calibrations. We can potentially provide more frequent calibrations - if required please select Other and specify in the “Other Requirements” box.
Other Requirements
Please use this box to summarise any bespoke requirements you have. We can discuss these in detail when we contact you.
Interest Rates
Outputs
This package projects the following variables:
| Output Format | Outputs |
|---|---|
| Returns and Yields | Nominal Spot Rates for Risk-Free Zero-Coupon Bonds with 1-30 year terms |
| Real Spot Rates for Risk-Free Zero-Coupon Bonds with 1-30 year terms | |
| Nominal Cash Total Return | |
| Change in Inflation | |
| Indices and Prices | Prices for Nominal Risk-Free Zero-Coupon Bonds with 1-30 year terms |
| Prices for Real Risk-Free Zero-Coupon Bonds with 1-30 year terms | |
| Nominal Cash Total Return Index | |
| Inflation Index |
Market-Consistent Calibration
We calibrate our Nominal interest-rate model to Swaption-implied volatilities and an initial yield curve constructed using our innovative methodology, assuming either Government Bonds or Swaps as the risk-free rate.
We calibrate our Real interest-rate model to our long-term estimates of real rate and index-linked bond behaviour. The initial real-rate curve is determined using a mix of inflation forecasts and index-linked bond yields.
If you are interested in other calibrations then please specify in the “Other Requirements” box.
Real-World Calibration
We calibrate our models to our understanding of market behaviour expressed as targets.
For Nominal interest rates we use long-term unconditional estimates of interest-rate volatility, mean reversion and short rates and an initial yield curve constructed using our innovative methodology, assuming Government Bonds as the risk-free rate.
We calibrate our Real interest-rate model to our long-term estimates of real rate and index-linked bond behaviour. The initial real-rate curve is determined using a mix of inflation forecasts and index-linked bond yields.
If you are interested in other calibrations then please specify in the “Other Requirements” box.
Bonds
Outputs
This package projects the following outputs:
| Output Format | Outputs |
|---|---|
| Returns and Yields | Total Return |
| Price Change | |
| Redemption Yield | |
| Indices and Prices | Total Return Index |
| Price Index | |
| Redemption Yield |
Calibration
Our calibration is consistent with our unconditional estimates of long-term transition probabilities, spread volatility and corporate bond spreads.
Equities
Outputs
This package projects the following outputs:
| Output Format | Outputs |
|---|---|
| Returns and Yields | Total Return |
| Price Change | |
| Redemption Yield | |
| Indices and Prices | Total Return Index |
| Price Index | |
| Redemption Yield |
Market-Consistent Calibration
We currently model eight economies using implied volatilities on at-the-money options from the following indices:
| Economy | Index |
|---|---|
| Australia | ASX 200 |
| Canada | TSX 60 |
| Eurozone | ESTOXX 50 |
| Japan | Nikkei 225 |
| South Africa | TOP 40 |
| Switzerland | SMI 20 |
| UK | FTSE 100 |
| USA | S&P500 |
If you want to model other indices we recommend that using the appropriate index as a proxy. Alternatively, we can calibrate to specific indices, portfolios or individual stocks as part of a bespoke solution. If this is something you are interested in please summarise your requirements in the “Other Requirements” box.
Real-World Calibration
We calibrate our models to our understanding of market behaviour expressed as targets. When setting targets we do not assume a given index, but rather examine a typical large-to-mid cap portfolio in that market. We currently model the following economies:
| Region | Economy |
|---|---|
| Europe, Middle East And Africa | Czech Republic |
| Denmark | |
| Eurozone | |
| Hungary | |
| Norway | |
| Poland | |
| Slovakia | |
| South Africa | |
| Sweden | |
| Switzerland | |
| UK | |
| Asia Pacific | Australia |
| Japan | |
| New Zealand | |
| Singapore | |
| Americas | Canada |
| USA |
We understand that not everybody will agree with our house view and can create Scenarios based on your views as part of our bespoke service. If this is something you are interested in, please summarise your requirements in the “Other Requirements” box.
Property
Outputs
This package projects the following outputs:
| Output Format | Outputs |
|---|---|
| Returns and Yields | Total Return |
| Price Change | |
| Rental Yield | |
| Indices and Prices | Total Return Index |
| Price Index | |
| Rental Yield |
Calibration
Traded property market data is not readily available for many economies so in practice we use the same calibration for Real-World and Market-Consistent Scenarios. We calibrate to our long-term assumptions of volatility, based on a well diversified portfolio, across all sectors and geography.