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Predicting Bank Distress in the UK with Machine Learning (Suss, Treitel) Looks at the benefits of machine learning techniques for providing regulators with a warning of firm distress. This gave an approach that is better aligned to help intervene ahead of failure.
Refining the Workhorse Oil Market Model (Zhou) Paper makes adjustments to previous work which has a model considered as the go-to for analysis of global oil markets. The 5 refinements he tries had no effect on the substantive conclusions made – so the original model is still the one to use.
Value, Momentum and Carry – Is It Time for Equity Investors to Switch? (In the Long Run) For the active investors, value factors may offer a better risk reward profile, but, given the individual stock volatility dispersion, a market neutral defensive factor model, along the lines proposed by AQR, may deliver the best risk adjusted return of all.