2018

Number Author Title
FS-2018-E-001 Teruo Kemmotsu
Hidetoshi Nakagawa
Is the Hawkes graph approach applicable for examining the bankruptcy risk dependence structure? An empirical analysis of firms’ bankruptcies in Japan

2017

Number Author Title
FS-2017-E-004 Hayato Komai
Ryota Koyano
Daisuke Miyakawa
Contrarian Trades and Disposition Effect: Evidence from Online Trade Data
FS-2017-E-003 Kensuke Kamauchi
Daisuke Yokouchi
A method for risk parity/budgeting portfolio based on Gram-Schmidt orthonormalization
FS-2017-E-002 Takato Hiraki
Toshiki Honda
Akitoshi Ito
Ming Liu
Financial Conglomeration, IPO Underwriting, and Allocation in Japan
FS-2017-E-001 Kazuhiko Ohashi When is a CAT index futures traded and preferred to reinsurance? — Trade-off between basis risk and adverse selection —

2016

Number Author Title
FS-2016-E-004 Kenichi Nagasawa
Akitoshi Ito
R&D Investments and Dividend Policies: Reputation or Flexibility?
FS-2016-E-003 Chiaki Hara
Toshiki Honda
Mutual Fund Theorem for Ambiguity-Averse Investors and the Optimality of the Market Portfolio
FS-2016-E-002 Daisuke Miyakawa
Kazuhiko Ohashi
Multiple Lenders, Temporary Debt Restructuring, and Firm Performance: Evidence from Contract-Level Data
FS-2016-E-001 Akitoshi Ito
Toshitaka Mikabe
Mikiharu Noma
The Long-Term Stability of Corporate Capital Structure: Evidence from Japanese Firms

2015

Number Author Title
FS-2015-E-001 Suguru Yamanaka
Hidetoshi Nakagawa
Masaaki Sugihara
Random thinning with credit quality vulnerability factor for better risk management of credit portfolio in a top-down framework

2014

Number Author Title
FS-2014-E-001 Hidetoshi Nakagawa
Hideyuki Takada
Numerical analysis of rating transition matrix depending on latent macro factor via nonlinear particle filter method
FS-2014-E-002 Fumio Hayashi
Junko Koeda
Exiting from QE
FS-2014-E-003 Chiaki Hara
Toshiki Honda
Asset Demand and Ambiguity Aversion

2013

Number Author Title
FS-2013-E-001 Takanori Adachi A Note on Categorical Risk Measure Theory
FS-2013-E-002 Hiroshi Sasaki Risk Premiums in Higher-Order Moments and Stock Return Predictability
FS-2013-E-003 Katsushi Nakajima,
Kazuhiko Ohashi
Commodity Spread Option with Cointegration
FS-2013-E-004 Daisuke Yokouchi,
Takeshi Kato,
Yoshimitsu Aoki
An Approach to Modeling on Financial Time Series Data with Regime Shifts
FS-2013-E-005 Hiroshi Sasaki Understanding Delta-hedged Option Returns in Stochastic Volatility Environments
(Update version of “FS-2012-E-001”)
FS-2013-E-006 Takanori Adachi Recursive Utility Functions with Extended States (Updated on Nov. 12, 2013)

2012

Number Author Title
FS-2012-E-001 Hiroshi Sasaki Understanding Delta-hedged Option Returns in Stochastic Volatility Environments
FS-2012-E-002 Gary B. Gorton,
Fumio Hayashi,
K. Geert Rouwenhorst
The Fundamentals of Commodity Futures Returns
FS-2012-E-003 Takanori Adachi,
Ryozo Miura,
Hidetoshi Nakagawa
Credit Risk Modeling with Delayed Information

2011

Number Author Title
FS-2011-E-001 Katsushi Nakajima,
Kazuhiko Ohashi
A Cointegrated Commodity Pricing Model
FS-2011-E-002 Stephen Gilmore,
Fumio Hayashi
Emerging Market Currency Excess Returns
FS-2011-E-003 Tatsuyoshi Okimoto Long-Run Trends in Dependence in International Equity Markets
FS-2011-E-004 Toshiki Honda Dynamic Optimal Pension Fund Portfolios when Risk Preferences are Heterogeneous among Pension Participants
FS-2011-E-005 Katsushi Nakajima,
Kazuhiko Ohashi
Analyzing Emission Allowance as a Derivative on Commodity-Spread

2008

Number Author Title
FS-2008-E-001 Ryozo Miura,
Daisuke Yokouchi
A Note on Statistical Models for Individual Hedge Fund Return
FS-2008-E-002 Takato Hiraki,
Akitoshi Ito,
Taiji Tomura
Share Repurchases in Japan

2007

Number Author Title
FS-2007-E-001 Takato Hiraki,
Akitoshi Ito,
Fumiaki Kuroki
Single versus Multiple Main Bank Relationships: Evidence from Japan

2005

Number Author Title
FS-2005-E-001 Ryozo Miura Rank Process and Stochastic Corridor: Nonparametric Statistics of Lognormal Observations and Exotic Derivatives based on them

2004

Number Author Title
FS-2004-E-001 Yuji Morimoto Forecasting Extreme Financial Risk: A Critical Analysis of Practical Methods for the Japanese Market
FS-2004-E-002 Takashi Kanamura,
Kazuhiko Ohashi
A Structural Model for Electricity Prices with Spikes
Measurement of Jump Risk and Optimal Policies for Hydropower Plant Operation
FS-2004-E-003 Takashi Kanamura,
Kazuhiko Ohashi
On Transition Probabilities of Regime-Switching in Electricity Prices

2003

Number Author Title
FS-2003-E-001 Kazuhiko Ohashi,
Tano Santos
Contractible Signals and Security Design