Real-world equity calibration Distributional targets at end-September 2009
Document ID: 2009-1564
Published on: 2nd October 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-September 2009. 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.
