Graduate School of Business Administration,Department of Business Administration
NAKAGAWA Hidetoshi
  • Curriculum Vitae
  • Research Results
  • Educational and Social Activities

日本語

Paper

1.Random thinning with credit quality vulnerability factor for better risk management of credit portfolio in a top-down framework(jointly worked)
Japan Journal of Industrial and Applied Mathematics Vol.33,No.2,pp.321-341 2016 Academic journal
ISSN 1868-937Xdoi
2.A random thinning model with a latent factor for improvement of top-down credit risk assessment(jointly worked)
JSIAM Letters Vol.8,pp.37-40 2016 Academic journal
ISSN 1883-0609doi
3.Numerical analysis of rating transition matrix depending on latent macro factor via nonlinear particle filter method(jointly worked)
Journal of Financial Engineering Vol.1,No.3 2014 Academic journal
doiLink
4.A New Characterization of Random Times for Specifying Information Delay(jointly worked)
Journal of Mathematical Sciences, the University of Tokyo Vol.20,pp.147-170 2013 Academic journal
ISSN 1340-5705Link
5.On Surrender and Default Risks(jointly worked)
Mathematical Finance Vol.23,No.1,pp.143-168 2013 Academic journal
ISSN 1467-9965doiLink
6.Modeling of Contagious Credit Events and Risk Analysis of Credit Portfolios(jointly worked)
Asia-Pacific Financial Markets Vol.19,No.1,pp.43-62 2012 Academic journal
ISSN 1387-2834doiLink
7.Analysis of downgrade risk in credit portfolios with self-exciting intensity model (jointly worked)
JSIAM Letters Vol.3,pp.93-96 2011 Academic journal
ISSN 1883-0609CiNiiLink
8.Analysis of credit event impact with self-exciting intensity model(jointly worked)
JSIAM Letters Vol.3,pp.49-52 2011 Academic journal
ISSN 1883-0609CiNiiLink
9.Modeling of contagious downgrades and its application to multi-downgrade protection
JSIAM Letters Vol.2,pp.65-68 2010 Academic journal
ISSN 1883-0609HERMES-IRCiNiiLink
10.Valuation of mortgage-backed securities based on unobservable prepayment costs(jointly worked)
Advances in Mathematical Economics Vol.6,pp.123-147 2004 Academic journal
11.Analyses of Mortgage-Backed Securities Based on Unobservable Prepayment Cost Processes(jointly worked)
Asia-Pacific Financial Markets Vol.11,No.3,pp.233-266 2004 Academic journal
ISSN 1387-2834doiLink
12.A filtering model on default risk
Journal of Mathematical Sciences, University of Tokyo Vol.8,pp.107-142 2001 Academic journal
ISSN 1340-5705CiNiiLink
13.A remark on spot rate models induced by an equilibrium model
Journal of Mathematical Sciences, University of Tokyo Vol.6,pp.453-475 1999 Academic journal
ISSN 1340-5705CiNiiLink
14.An Improvement of Structural Pricing Model for Basel III-Compliant Additional Tier1 (AT1) Bonds(jointly worked)
Transactions of the Japan Society for Industrial and Applied Mathematics Vol.29,No.3,pp.325-361 2019 Academic journal
ISSN 2424-0982doiLink
15.A visualization of bankruptcy risk contagion structure of Japanese firms with Hawkes graph estimation(jointly worked)
JAFEE Journal, Vol.17,pp.15-44 2019 Academic journal
doiLink
16.A Method of Corporate Credit Rating Classification Based on Support Vector Machine and Its Validation in Comparison of Sequential Logit Model(jointly worked)
Transactions of the Operations Research Society of Japan Vol.57,pp.92-111 2014 Academic journal
ISSN 2188-8280Link
17.Analyses of records of credit rating transition with mutually exciting rating-change intensity model
Transactions of the Japan Society for Industrial and Applied mathematics Vol.20,No.3,pp.183-202 2010 Academic journal
ISSN 0917-2246HERMES-IRCiNii
18.Valuation of default swap with affine class hazard rate
日本学士院紀要 Vol.75,No.3,pp.43-46 1999 Bulletin of university, institute, etc.
19.A prepayment model of mortgage-backed securities based on unobservable prepayment cost processes(co-author: Tomoaki Shouda)(jointly worked)
Advances in Mathematical Economics Vol.8,pp.383-396 2006 Academic journal
20.Valuation of Credit Default Swap and Parameter Estimation for Vasicek-type Hazard Rate Model(jointly worked)
AFIR Colloquium, Tokyo, Japan — August 24-27, 1999 1999 research society, symposium materials, etc.
Link

Other

1.Book review: Continuous-Time Models in Corporate Finance, Banking, and Insurance
Quantitative Finance Vol.18,No.11,pp.1791-1793 2018 Academic journal
ISSN 1469-7688Link
2.Modeling of Credit Risk Contagion with Hawkes Process and Its Application(jointly worked)
Bulletin of the Japan Society for Industrial and Applied Mathematics Vol.27,No.1,pp.5-12 2017 Other
ISSN 0917-2270
3.A survey on mathematical problems of counterparty credit risk measurement(jointly worked)
Transactions of the Japanese Society for Industrial and Applies Mathematics Vol.24,No.3,pp.293-306 2014 Academic journal
ISSN 0917-2246
4.A factor model of random thinning for top-down type credit portfolio risk assessment(jointly worked)
HUB FS Working paper series No.2019-E-001 2019 Other
5.Introduction to Credit risk modeling
Operations research as a management science research Vol.61,No.6,pp.359-364 2016 Other
ISSN 0030-3674
6.Operational risk and Extreme Value Theory
Japanese Jounal of Risk and Insurance Vol.12,pp.17-59 2016 Academic journal
ISSN 1880-0025
7.Random thinning with credit quality vulnerability factor for better risk management of credit portfolio in a top-down framework(jointly worked)
ICS FS Working paper series No.2015-E-001 2015 Other
Link
8.A bank loan pricing model based on recovery rate distribution(jointly worked)
International Journal of Innovative Computing, Information and Control Vol.4,No.1,pp.101-108 2008 Academic journal
CiNii
9.A Case Study of Operational Risk Measurement based on Loss Distribution Approach
12th AFIR colloquium at 27th International Congress of Actuaries 2002 research society, symposium materials, etc.

Academic Award Received

NOAcademic AwardYear
1.2014 JAFEE BEST PAPER AWARD2015.01

Oral Presentation

NOName of subject/Conference NameYearSite
1.Estimation and Visualization of Corporate Bankruptcy Risk Dependence Structure using Multi-dimensional Hawkes Process(Workshop on Hawkes processes in data science)
2019.08Institute of Statistical Mathematics
2.Is the Hawkes graph approach applicable for examining the bankruptcy risk dependence structure? -An empirical analysis of firms' bankruptcies in Japan-(10th World Congress of the Bachelier Finance Society)
Link
2018.07Trinity College, Dublin
3.An empirical study of credit risk assessment with an EBIT-based structural model( 9th World Congress of the Bachelier Finance Society)
2016.07Crowne Plaza Times Square Hotel, New York
4.Some applications of an earning-based structural model to credit risk measurements( Winter Workshop on Operations Research, Finance and Mathematics 2016)
2016.02Sahoro Resort
5.Numerical calculation of rating transition matrix depending on latent macro factor via nonlinear particle filter method(8th World Congress of the Bachelier Finance Society)
2014.06MCE Conference Center, Brussels, Belgium
6.Modeling of Credit Quality Stability within a Top-down Framework for Credit Portfolio Risk Measurement( 6th Financial Risks International Forum)
2013.03Chambre de Commerce et d'Indystrie de Paris
7.Valuation of Constant Maturity Credit Default Swaps( The 2nd IMS-APRM (Institute of Mathematical Statistics Asia Pacific Rim Meetings))
2012.07筑波大学
8.On Surrender and Default Risk(The CREST and 4th Ritsumeikan-Florence Workshop on Risk, Simulation and Related Topics)
2012.03Ritsumeikan APU(Beppu)
9.Credit Risk Modeling with Delayed Information(QMF2011)
2011.12Hilton Sydney
10.Modeling of Contagious Downgrades and Its Application to Multi-Downgrade Protection(Sixth World Congress of the Bachelier Finance Society)
2010.06Toronto, Canada
11.Modeling of Contagious Credit Events and Risk Analysis of Collateralized Debt Obligations(3rd International Financial Risk Forum on "Risk Dependencies")
2010.03Chambre de Commerce et d'Indystrie de Paris
12.On Surrender Risk and the Default of Insurance Companies(ICA2010)
2010.03Cape Town International Convention Centre (CTICC), South Africa
13.Modeling of Contagious Downgrades and Its Application to Multi-Downgrade Protection(International Workshop on Mathematical Finance “Topics on Leading-edge Numerical Procedures and Models")
2010.02東京 TKP虎ノ門ビジネスセンター
14.An Application of Top‐Down Approach for Credit Loan Portfolio based on Ratings Process(QMF2009)
2009.12Amora Hotel in Sydney
15.Modeling of Contagious Downgrades and Its Application to Multi-Downgrade Protection(Quantitative Methods in Finance Conference (QMF) 2009)
2009.12Sydney
16.An Application of Top-down Approach for Bank Loan Portfolio based on Rating Processes( The All China Economics (ACE) International Conference The 3rd. Conference)
2009.12City University of Hong Kong
17.Surrender Risk and the Default in Insurance Companies(KIER-TMU International Workshop on Financial Engineering 2009)
2009.08大手町サンケイプラザ
18.Surrender Risk and the Default of Insurance Companies(the 13th Annual APRIA Conference)
2009.07Peking University, Beijing, China
19.Modeling of Contagious Rating Changes and Its Application to Multi-Downgrade Protection(The 2nd International Financial Research Forum on "Risk Management & Financial Crisis")
2009.03Paris, France
20.Modeling of risk dependence structure in a large portfolio(Seoul-Tokyo Conference)
2008.11KIAS, Seoul
21.Dependence Structure of Financial Risks in a Large Portfolio(-)
2008.09東京

Scientific Research Funds Results

NOResearch subjectResearch itemYear
1.
Scientific Research (C)2017-2019
2.
Link
Scientific Research (C)2014-2016
3.
Link
Young Scientists (B)2004-2006
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