End September 2008 RW Equity Calibration
Document ID: 2008-1118
Published on: 21st October 2008
Author: Steffen Sorensen
This note provides an update to our real-world volatility, correlation and risk premium assumptions for global equity markets at end-September 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.
