Real-world equity calibration Distributional targets end-June 2010
Document ID: 2010-1865
Published on: 1st July 2010
Author: Ruosha Li and Jack Cheyne
This note provides an update to our real-world volatility, correlation and risk premium assumptions for global equity markets at end-June 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.
