Real-World Equity Calibration: Distributional Targets at End-December 2008
Document ID: 2009-1263
Published on: 5th January 2009
Author: Jack Cheyne & Frederic El Cherif
This note provides an update to our real-world volatility, correlation and risk premium assumptions for global equity markets at end-December 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
