Real-world equity calibration Distributional targets at end-December 2010
Document ID: 2011-2055
Published on: 4th January 2011
Author: Will Halley and Jack Cheyne
This note provides an update to our real-world volatility, correlation and risk premium assumptions for global equity markets at end-December 2010. 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.
