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


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 —


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


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


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


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)


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


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


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


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


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


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


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