CHE2 forecasts risk in portfolios of mainland Chinese equities - i.e., in portfolios composed of A- and B-shares. Its predictions utilize daily returns data, so that the model responds quickly to changes in the dynamic Chinese risk environment.

This report introduces the Japan Short-Term Equity Model, JPE3S, a model for near-term (several month) Japanese equity risk. JPE3S responds more quickly to changes in risk levels than the Japan Equity Model, JPE3. In order to make more responsive risk forecasts, JPE3S employs daily returns data and accounts for their serial correlations. Daily data provide denser and more detailed intra-horizon volatility information than would be available from monthly returns, and allow the model to base...