Hidetoshi Nakagawa

Available identifiers

zbMath Open nakagawa.hidetoshiMaRDI QIDQ346620

List of research outcomes

Publication	Date of Publication	Type
Discrepancy between regulations and practice in initial margin calculation	2024-10-08	Paper
A default contagion model for pricing defaultable bonds from an information based perspective	2023-06-20	Paper
https://portal.mardi4nfdi.de/entity/Q5867754	2022-09-19	Paper
Analysis of order book dynamics in the Japanese stock market using the queue-reactive Hawkes process	2021-03-30	Paper
A random thinning model with a latent factor for improvement of top-down credit risk assessment	2019-03-18	Paper
Random thinning with credit quality vulnerability factor for better risk management of credit portfolio in a top-down framework	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	2013-08-09	Paper
Analysis of downgrade risk in credit portfolios with self-exciting intensity model	2013-08-09	Paper
Analysis of credit event impact with self-exciting intensity model	2013-08-09	Paper
On surrender and default risks	2013-02-28	Paper
Modeling of contagious credit events and risk analysis of credit portfolios	2012-07-03	Paper
Analyses of mortgage-backed securities based on unobservable prepayment cost processes	2006-11-17	Paper
https://portal.mardi4nfdi.de/entity/Q5482567	2006-08-28	Paper
Valuation of mortgage-backed securities based on unobservable prepayment costs	2005-09-27	Paper
A filtering model on default risk	2001-09-23	Paper
A filtering model on default risk	2001-09-17	Paper
Valuation of default swap with affine-type hazard rate	2000-04-25	Paper
https://portal.mardi4nfdi.de/entity/Q4950739	2000-04-09	Paper

Research outcomes over time

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