Masayasu Kanno

Nihon University

Professor

5-2-1, Kinuta

Setagaya

Tokyo, 1578570

Japan

SCHOLARLY PAPERS

7

DOWNLOADS

636

SSRN CITATIONS

1

CROSSREF CITATIONS

2

Scholarly Papers (7)

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1.

Risk Contagion of COVID–19 in Japanese Firms: A Network Approach

Number of pages: 29 Posted: 13 May 2020 Last Revised: 21 Jan 2021
Masayasu Kanno
Nihon University
Downloads 213 (215,384)
Citation 5

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COVID–19; risk contagion; susceptible-infected-recovered-dead (SIRD) model; correlation-based network; stock market; net cash

2.

Sovereign Default Risk Valuation Using CDS Spreads: Evidence from the COVID-19 Crisis

Number of pages: 23 Posted: 26 Jan 2021 Last Revised: 01 Feb 2021
Masayasu Kanno
Nihon University
Downloads 145 (300,197)

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COVID-19; Sovereign credit default swap (CDS); Default probability; Correlation-based network. Fiscal policy

3.

Assessing the Impact of COVID-19 on Major Industries in Japan: A Dynamic Conditional Correlation Approach

Number of pages: 24 Posted: 22 Jan 2021
Masayasu Kanno
Nihon University
Downloads 74 (472,158)

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COVID-19; Composite stock index; Sector and regional analysis; Dynamic conditional correlation (DCC); Multivariate GARCH

4.

Credit Risk Assessment in Real Estate Investment Trusts: A Perspective on Blockholding and Lending Networks

Number of pages: 39 Posted: 28 Mar 2019 Last Revised: 23 Jun 2019
Masayasu Kanno
Nihon University
Downloads 66 (501,843)

Abstract:

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REIT; investment corporation; credit risk; double default; centrality measure

5.

Credit Rating Migration Risk and Interconnectedness in a Corporate Lending Network

Number of pages: 35 Posted: 02 May 2018 Last Revised: 21 May 2018
Masayasu Kanno
Nihon University
Downloads 62 (518,027)

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credit rating migration risk; corporate lending; interconnectedness; centrality measure; credit value at risk and expected shortfall

6.

Can Composite Stock Index by Sector and Region Explain the Impact of Novel Coronavirus Disease (COVID-19) on the Economies of Major Cities?

Number of pages: 19 Posted: 24 Jul 2020
Masayasu Kanno
Nihon University
Downloads 50 (571,855)

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COVID-19; composite stock index; sector and regional analysis; complex network theory

7.

Exploring Hidden Risk in Syndicated Loan Networks: Evidence From Real Estate Investment Trusts

Number of pages: 33 Posted: 23 May 2022 Last Revised: 31 May 2022
Masayasu Kanno
Nihon University
Downloads 26 (716,870)

Abstract:

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Syndicated loan; REIT; interconnectedness; credit risk; systemic risk; stress test