Real-world equity calibration:Distributional targets at end-September 2010
Document ID: 2010-1991
Published on: 1st October 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-September 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.
