End March 2008 Real-World Equity Calibration: Distributional Targets
Document ID: 2008-112 (previously 2008/02)
Published on: 1st March 2008
This note provides an update to our real-world volatility and correlation assumptions for global equity markets at end-March 2008. In our view, the assumptions presented here provide a set of feasible real-world calibration targets. Please note that these targets may not be precisely matched by specific model calibrations. In general models offer fewer degrees of freedom than the number of targets documented here. As a result, the actual choice of the calibration targets used in the fitting process is described in the model calibration documentation.
