I was of the understanding that risk neutral drift was always the risk free rate. A section from Gregory's book on Credit Value Adjustment seems to say risk neutral drifts are typically estimated from futures. Have I just misunderstood the text (I'm hoping so, because it sounds completely wrong to me)?
If risk neutral drifts can be different than the risk free rate and risk neutral drift can be estimated from futures, how then do we observe real world drifts?
Here is an excerpt of the text:
One area where risk-neutral parameters tend to be used even for risk management simulations is the determination of the drifts of underlying risk factors, which are typically calibrated from forward rates.
Despite the above problems with drifts, most PFE (potential future exposure) and CVA calculations will calibrate to forward rates in the market. From the CVA point of view, this is justified by hedging. For PFE purposes, this is often done more for convenience’s sake, since it means that simple instruments are by construction priced properly and circumvents the need to attempt to estimate the “real-world” drift of risk factors.