Hidetoshi Nakagawa

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Discrepancy between regulations and practice in initial margin calculation Japan Journal of Industrial and Applied Mathematics	2024-10-08	Paper
A default contagion model for pricing defaultable bonds from an information based perspective Quantitative Finance	2023-06-20	Paper
scientific article; zbMATH DE number 7587744 (Why is no real title available?)	2022-09-19	Paper
Analysis of order book dynamics in the Japanese stock market using the queue-reactive Hawkes process JSIAM Letters	2021-03-30	Paper
A random thinning model with a latent factor for improvement of top-down credit risk assessment JSIAM Letters	2019-03-18	Paper
Random thinning with credit quality vulnerability factor for better risk management of credit portfolio in a top-down framework Japan Journal of Industrial and Applied Mathematics	2016-11-29	Paper
A new characterization of random times for specifying information delay	2014-08-04	Paper
Modeling of contagious downgrades and its application to multi-downgrade protection JSIAM Letters	2013-08-09	Paper
Analysis of downgrade risk in credit portfolios with self-exciting intensity model JSIAM Letters	2013-08-09	Paper
Analysis of credit event impact with self-exciting intensity model JSIAM Letters	2013-08-09	Paper
On surrender and default risks Mathematical Finance	2013-02-28	Paper
Modeling of contagious credit events and risk analysis of credit portfolios Asia-Pacific Financial Markets	2012-07-03	Paper
Analyses of mortgage-backed securities based on unobservable prepayment cost processes Asia-Pacific Financial Markets	2006-11-17	Paper
scientific article; zbMATH DE number 5050014 (Why is no real title available?)	2006-08-28	Paper
Valuation of mortgage-backed securities based on unobservable prepayment costs Advances in Mathematical Economics	2005-09-27	Paper
A filtering model on default risk RIMS Kokyuroku	2001-09-23	Paper
A filtering model on default risk Journal of Mathematical Sciences. University of Tokyo	2001-09-17	Paper
Valuation of default swap with affine-type hazard rate Proceedings of the Japan Academy. Series A	2000-04-25	Paper
scientific article; zbMATH DE number 1428415 (Why is no real title available?)	2000-04-09	Paper

Research outcomes over time

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