For counterparty credit risk, in particular, for potential future exposure computation, people use the real-world probability measure to evolve the underlying risk factors. My question is that whether there is only a single real-world probability measure for the whole market, or an individual one for each individual market, for example, one for the US market and another one for the European market.
For risk-neutral probability measure, we certainly have one for each individual market, and thus we can say domestic risk-neutral measure and foreign risk-neutral measure and so on. Is there any such thing as domestic physical measure or foreign physical measure? That is, for an equity basket with underliers from various markets, do we need the so-called quanto adjustment in domestic physical measure? Is there any references for discussions?
Acknowledgements: Thanks to every one for your participation. Your insights, ideas, or debates are very helpful for myself and many people here.