Hidetoshi Nakagawa

Hitotsubashi University Business School

Professor

National Center for Sciences

2-1-2 Hitotsubashi,

Chiyoda-ku,, 1018439

Japan

  • Hitotsubashi University Business School

SCHOLARLY PAPERS

6

DOWNLOADS

333

SSRN CITATIONS

4

CROSSREF CITATIONS

4

Scholarly Papers (6)

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1.

On Surrender and Default Risks

Downloads 121 (310,599)
Citation 4

On Surrender and Default Risks

Mathematical Finance, 23(1), 143-168 (2013)
Number of pages: 28 Posted: 24 Dec 2010 Last Revised: 25 Dec 2014
Olivier Le Courtois and Hidetoshi Nakagawa
EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and Hitotsubashi University Business School
Downloads 120 (313,997)

Abstract:

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Surrender risk, default risk, interest rate risk, Cox process, participating policies

On Surrender and Default Risks

Mathematical Finance, Vol. 23, Issue 1, pp. 143-168, 2013
Number of pages: 26 Posted: 10 Jan 2013
Olivier Le Courtois and Hidetoshi Nakagawa
EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and Hitotsubashi University Business School
Downloads 1 (893,822)
Citation 2

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surrender risk, default risk, interest rate risk, Cox process, participating policies

2.

Is the Hawkes Graph Approach Applicable for Examining the Bankruptcy Risk Dependence Structure? An Empirical Analysis of Firms' Bankruptcies in Japan

Number of pages: 28 Posted: 16 Jan 2018 Last Revised: 22 Jul 2018
Teruo Kemmotsu and Hidetoshi Nakagawa
Independent and Hitotsubashi University Business School
Downloads 70 (436,770)

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Hawkes process, Hawkes graph, bankruptcy risk dependence, bankruptcies in Japan

3.

Numerical Analysis of Rating Transition Matrix Depending on Latent Macro Factor via Nonlinear Particle Filter Method

Journal of Financial Engineering, Vol.1, Issue 3, 2014
Number of pages: 27 Posted: 26 Dec 2014
Hidetoshi Nakagawa and Hideyuki Takada
Hitotsubashi University Business School and Toho University
Downloads 54 (495,689)

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Credit risk, credit rating transition, nonlinear filtering, branching particle filter

4.

Credit Risk Modeling with Delayed Information

Number of pages: 24 Posted: 07 Feb 2013
Takanori Adachi, Ryozo Miura and Hidetoshi Nakagawa
Tokyo Metropolitan University, Hitotsubashi University - Graduate School of International Corporate Strategy and Hitotsubashi University Business School
Downloads 54 (495,689)

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credit risk, default risk, structural model, stopping time, random time, information delay

5.

Modeling of Contagious Downgrades and its Application to Multi-Downgrade Protection

Number of pages: 25 Posted: 24 Dec 2010
Hidetoshi Nakagawa
Hitotsubashi University Business School
Downloads 34 (591,090)

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downgrade risk, mutually exciting intensity model, downgrade protection

6.

Analyses of Mortgage-Backed Securities Based on Unobservable Prepayment Cost Processes

Asia-Pacific Financial Markets, Vol. 11, No. 3, pp. 233-266, 2006
Posted: 24 Dec 2010 Last Revised: 11 Jan 2018
Hidetoshi Nakagawa and Tomoaki Shouda
Hitotsubashi University Business School and Independent

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mortgage-backed securities (MBS), prepayment cost, loan pool risk, structural approach with incomplete information, asymptotic arbitrage-free condition