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Japan Equity Model (JPE3) Research Notes
Nov 22, 2002
In the decade since the release of the second version of the Japan Equity Model, JPE2, the Japanese market has witnessed a number of important changes stemming from the collapse of real estate prices, the steady decline in equity market valuations and several crises in the banking sector. These changes, along with the rapid evolution of technology and telecommunications, prompted us to undertake a thorough review of the modeling choices embedded in the JPE2 model. The culmination of this effort is a new risk model for Japan that reflects the important economic changes as well as several modeling improvements. This report discusses the research into and implementation details of this new Japan Equity Model, JPE3.
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