Real-world equity calibration: distributional targets at end-June 2011
Document ID: 2011-2228
Published on: 5th July 2011
Author: Will Halley & Jack Cheyne
This note provides an update to our real-world volatility, correlation and risk premium assumptions for global equity markets at end-June 2011. 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
