Best-Estimate Equity Calibration
Document ID: 2007-373
Published on: 31st May 2007
In this session, we will present research providing calibration targets for volatility, correlation and risk-premiums in global equity markets. In particular, we will explain our proposed approach to setting volatility targets which are appropriate for best estimate projection over different time horizons. It is intended that the approach to equity calibration target setting will be implemented in Barrie & Hibbert standard calibrations over the second half of 2007.
