What Is the Parent Equity Asset correlation Model?
Document ID: 2010-1831
Published on: 11th May 2010
Author: Paul McCarney
Barrie & Hibbert recently introduced a new methodology for modelling equity assets in the market-consistent world which allows the user to easily fit market-implied volatilities and correlation targets simultaneously. This document explains the Correlation Model approach and demonstrates why it is now our preferred approach for risk neutral equity modelling.
