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NAKAGAWA Hidetoshi  中川 秀敏

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Nakagawa Hidetoshi  中川 秀敏

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Researcher Number 30361760
Other IDs
External Links
Affiliation (Current) 2025: 一橋大学, 大学院経営管理研究科, 教授
Affiliation (based on the past Project Information) *help 2018 – 2023: 一橋大学, 大学院経営管理研究科, 教授
2014 – 2017: 一橋大学, 大学院国際企業戦略研究科, 准教授
2011 – 2012: 一橋大学, 国際企業戦略研究科, 准教授
2011: 一橋大学, 大学院・国際企業戦力研究科, 准教授
2011: 一橋大学, 経済研究所, 准教授 … More
2009 – 2010: 一橋大学, 大学院・国際企業戦略研究科, 准教授
2007: Tokyo Institute of Technology, Graduate School of Innovation Management, Associate professor
2005 – 2006: 東京工業大学, 大学院イノベーションマネジメント研究科, 助教授
2005: 東京工業大学, 大学院・イノベーションマネジメント研究科, 助教授
2004: 東京工業大学, 理財工学研究センター, 助教授 Less
Review Section/Research Field
Principal Investigator
Basic Section 25010:Social systems engineering-related / Social systems engineering/Safety system / Mathematical informatics / Social systems engineering/Safety system
Except Principal Investigator
Social systems engineering/Safety system / Basic Section 25010:Social systems engineering-related / Economic statistics
Keywords
Principal Investigator
信用リスク / 金融リスク / 炭素排出量 / 温室効果ガス排出 / 気候変動リスク / 伝播メカニズム / 機械学習 / 証拠金 / カウンターパーティーリスク / 情報アプローチ … More / リスク伝播モデル / 市場流動性リスク / 金融工学 / 高頻度取引 / 板情報過程 / Hawkes過程 / デフォルト構造モデル / 格付変更モデル / 多期間リスク尺度 / 圏論 / 証券化 / 擬変分不等式 / インパルス制御 / 最適停止問題 / プリペイメント・コスト / 期限前償還モデル / 住宅ローン / MBS … More
Except Principal Investigator
信用リスク / 最適化 / ファイナンス / 数理ファイナンス / 確率微分方程式 / クレジットデリバティブ / 情報アプローチ / Probability theory / Business administration / Secure network / Optimization / Information system / XBRL / 信用情報共有基盤 / セキュリティ / ネットワーク / IT / 金融リスク / 確率論 / 経営学 / セキュアネットワーク / 情報システム / リスク尺度 / 高頻度金融データの計量理論 / 社債の価格理論 / 統計的強度モデル / 統計的金融リスク管理論 / 高頻度ファイナンス計量分析 / ミクロ金融市場 / 金融危機 / 情報ネットワーク / 数値解析 / OR Less
  • Research Projects

    (9 results)
  • Research Products

    (90 results)
  • Co-Researchers

    (21 People)
  •  Development and application of credit risk models that take climate change risk into accountPrincipal Investigator

    • Principal Investigator
      中川 秀敏
    • Project Period (FY)
      2023 – 2025
    • Research Category
      Grant-in-Aid for Scientific Research (C)
    • Review Section
      Basic Section 25010:Social systems engineering-related
    • Research Institution
      Hitotsubashi University
  •  イベントドリブン型リスクの伝播メカニズムの理論的探求と機械学習手法を用いた実証

    • Principal Investigator
      高田 英行
    • Project Period (FY)
      2023 – 2025
    • Research Category
      Grant-in-Aid for Scientific Research (C)
    • Review Section
      Basic Section 25010:Social systems engineering-related
    • Research Institution
      Toho University
  •  Theoretical study of credit risk contagion mechanisms and empirical analysis using machine learning methodsPrincipal Investigator

    • Principal Investigator
      NAKAGAWA Hidetoshi
    • Project Period (FY)
      2020 – 2023
    • Research Category
      Grant-in-Aid for Scientific Research (C)
    • Review Section
      Basic Section 25010:Social systems engineering-related
    • Research Institution
      Hitotsubashi University
  •  Verification of generation mechanism of market liquidity risk with conic finance and Limit-order-book processPrincipal Investigator

    • Principal Investigator
      NAKAGAWA Hidetoshi
    • Project Period (FY)
      2017 – 2019
    • Research Category
      Grant-in-Aid for Scientific Research (C)
    • Research Field
      Social systems engineering/Safety system
    • Research Institution
      Hitotsubashi University
  •  Construction and Applications of risk measure theory based on category theoryPrincipal Investigator

    • Principal Investigator
      Nakagawa Hidetoshi
    • Project Period (FY)
      2014 – 2016
    • Research Category
      Grant-in-Aid for Scientific Research (C)
    • Research Field
      Mathematical informatics
    • Research Institution
      Hitotsubashi University
  •  New Developments in Financial Econometrics and Financial Markets in Japan

    • Principal Investigator
      KUNITOMO Naoto
    • Project Period (FY)
      2009 – 2011
    • Research Category
      Grant-in-Aid for Scientific Research (A)
    • Research Field
      Economic statistics
    • Research Institution
      The University of Tokyo
  •  Research and development of the advanced expert mathematical library for the information network society

    • Principal Investigator
      MIZUNO Shinji
    • Project Period (FY)
      2008 – 2012
    • Research Category
      Grant-in-Aid for Scientific Research (A)
    • Research Field
      Social systems engineering/Safety system
    • Research Institution
      Tokyo Institute of Technology
  •  住宅ローン証券化商品の価値評価のためのローンの期限前償還モデルの研究Principal Investigator

    • Principal Investigator
      中川 秀敏
    • Project Period (FY)
      2004 – 2006
    • Research Category
      Grant-in-Aid for Young Scientists (B)
    • Research Field
      Social systems engineering/Safety system
    • Research Institution
      Tokyo Institute of Technology
  •  Research and development of new IT models for financial risk management.

    • Principal Investigator
      MIZUNO Shinji
    • Project Period (FY)
      2004 – 2007
    • Research Category
      Grant-in-Aid for Scientific Research (A)
    • Research Field
      Social systems engineering/Safety system
    • Research Institution
      Tokyo Institute of Technology

All 2024 2023 2021 2020 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 Other

All Journal Article Presentation

  • [Journal Article] A default contagion model for pricing defaultable bonds from an information based perspective2023

    • Author(s)
      Hidetoshi Nakagawa and Hideyuki Takada
    • Journal Title

      Quantitative Finance

      Volume: 23 Issue: 1 Pages: 169-185

    • DOI

      10.1080/14697688.2022.2138776

    • Peer Reviewed / Open Access
    • Data Source
      KAKENHI-PROJECT-20K04960
  • [Journal Article] Analysis of order book dynamics in the Japanese stock market using the Queue-Reactive Hawkes process2021

    • Author(s)
      Nohara Makoto, Nakagawa Hidetoshi
    • Journal Title

      JSIAM Letters

      Volume: 13 Issue: 0 Pages: 1-4

    • DOI

      10.14495/jsiaml.13.1

    • NAID

      130007975358

    • ISSN
      1883-0609, 1883-0617
    • Language
      English
    • Peer Reviewed / Open Access
    • Data Source
      KAKENHI-PROJECT-20K04960
  • [Journal Article] Hawkesグラフ表現による視覚化2019

    • Author(s)
      監物輝夫・中川秀敏
    • Journal Title

      JAFEE Journal

      Volume: 17 Issue: 0 Pages: 15-44

    • DOI

      10.32212/jafee.17.0_15

    • NAID

      130007634173

    • ISSN
      2434-4702
    • Language
      Japanese
    • Peer Reviewed / Open Access
    • Data Source
      KAKENHI-PROJECT-17K01248
  • [Journal Article] An Improvement of Structural Pricing Model for Basel III-Compliant Additional Tier1 (AT1) Bonds2019

    • Author(s)
      杉山 泰平・中川 秀敏
    • Journal Title

      Transactions of the Japan Society for Industrial and Applied Mathematics

      Volume: 29 Issue: 3 Pages: 325-361

    • DOI

      10.11540/jsiamt.29.3_325

    • NAID

      130007711843

    • ISSN
      2424-0982
    • Language
      Japanese
    • Peer Reviewed / Open Access
    • Data Source
      KAKENHI-PROJECT-17K01248
  • [Journal Article] 多次元Hawkes過程を用いた倒産リスク伝播構造の推定-Hawkesグラフ表現による視覚化-2018

    • Author(s)
      監物輝夫・中川秀敏
    • Journal Title

      ジャフィー・ジャーナル

      Volume: 未定

    • NAID

      130007634173

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-17K01248
  • [Journal Article] Hawkes過程による信用リスク伝播のモデリングとその応用2017

    • Author(s)
      山中 卓・中川 秀敏・杉原 正顯
    • Journal Title

      応用数理

      Volume: 27 Pages: 5-12

    • NAID

      130007043041

    • Peer Reviewed / Open Access
    • Data Source
      KAKENHI-PROJECT-26330026
  • [Journal Article] A random thinning model with a latent factor for improvement of top-down credit risk assessment2016

    • Author(s)
      Suguru Yamanaka, Hidetoshi Nakagawa, Masaaki Sugihara
    • Journal Title

      JSIAM Letters

      Volume: 8 Issue: 0 Pages: 37-40

    • DOI

      10.14495/jsiaml.8.37

    • NAID

      130005158056

    • ISSN
      1883-0609, 1883-0617
    • Language
      English
    • Peer Reviewed / Acknowledgement Compliant / Open Access
    • Data Source
      KAKENHI-PROJECT-26330026
  • [Journal Article] Random thinning with credit quality vulnerability factor for better risk management of credit portfolio in a top-down framework2016

    • Author(s)
      Suguru Yamanaka, Hidetoshi Nakagawa, Masaaki Sugihara
    • Journal Title

      Japan Journal of Industrial and Applied Mathematics

      Volume: 33 Issue: 2 Pages: 321-341

    • DOI

      10.1007/s13160-016-0216-x

    • NAID

      210000160280

    • Peer Reviewed / Acknowledgement Compliant / Open Access
    • Data Source
      KAKENHI-PROJECT-26330026
  • [Journal Article] Numerical analysis of rating transition matrix depending on latent macro factor via nonlinear particle filter method2014

    • Author(s)
      Hidetoshi Nakagawa, Hideyuki Takada
    • Journal Title

      Journal of Financial Engineering

      Volume: 1 Issue: 03 Pages: 1450026-1450026

    • DOI

      10.1142/s2345768614500263

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-26330026
  • [Journal Article] A New Characterization of Random Times for Specifying Information Delay2013

    • Author(s)
      Takanori Adachi, Ryozo Miura, Hidetoshi Nakagawa
    • Journal Title

      Journal of Mathematical Science

      Volume: -

    • NAID

      120005678236

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20241038
  • [Journal Article] On Surrender and Default Risks2013

    • Author(s)
      Olivie Le Courtois, Hidetoshi Nakagawa
    • Journal Title

      Mathematical Finance

      Volume: 23(1) Issue: 1 Pages: 143-168

    • DOI

      10.1111/j.1467-9965.2011.00487.x

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20241038
  • [Journal Article] Modeling of Contagious Credit Events and Risk Analysis of Credit Portfolios2012

    • Author(s)
      Suguru Yamanaka, Masaaki Sugihara and Hidetoshi Nakagawa
    • Journal Title

      Asia-Pacific Financial Markets

      Volume: 19 Pages: 43-62

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21243019
  • [Journal Article] On Surrender and Default Risks2011

    • Author(s)
      Olivier Le Courtois Hidetoshi Nakagawa
    • Journal Title

      Mathematical Finance

      Volume: (In press)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20241038
  • [Journal Article] Analysis of credit event impact with self-exciting intensity model2011

    • Author(s)
      Suguru Yamanaka, Masaaki Sugihara, Hidetoshi Nakagawa
    • Journal Title

      JSIAM Letters

      Volume: 3 Pages: 49-52

    • NAID

      130001011972

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21243019
  • [Journal Article] Analysis of credit event impact with self-exciting intensity model2011

    • Author(s)
      Suguru Yamanaka, Masaaki Sugihara and Hidetoshi Nakagawa
    • Journal Title

      SIAM Letters

      Volume: 3 Pages: 49-52

    • NAID

      130001011972

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21243019
  • [Journal Article] Analysis of downgrade risk in credit portfolios with self-exciting intensity model2011

    • Author(s)
      Sugar Yamanaka, Masaaki Sugihara and Hidetoshi Nakagawa
    • Journal Title

      SIAM Letters

      Volume: 3 Pages: 93-96

    • NAID

      130002129400

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21243019
  • [Journal Article] On Surrender and Default Risks2011

    • Author(s)
      Olivier Le Courtois, Hidetoshi Nakagawa
    • Journal Title

      Mathematical Finance in press

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20241038
  • [Journal Article] Analysis of downgrade risk in credit portfolios with self-exciting intensity model2011

    • Author(s)
      Suguru Yamanaka, Masaaki Sugihara, Hidetoshi Nakagawa
    • Journal Title

      JSIAM Letters

      Volume: 3 Pages: 93-96

    • NAID

      130002129400

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21243019
  • [Journal Article] 信用ポートフォリオのリスク計量:金利変化見通しと個別企業価値変動を考慮したトップダウン・アプローチ2010

    • Author(s)
      金子拓也, 中川秀敏
    • Journal Title

      日本銀行金融研究所『企業研究』

      Volume: 29巻3号 Pages: 19-44

    • Data Source
      KAKENHI-PROJECT-20241038
  • [Journal Article] t分布2ファクターモデルを用いた中小企業CLOのデフォルト依存関係の分析2010

    • Author(s)
      吉規寿郎, 中川秀敏
    • Journal Title

      定量的信用リスク評価とその応用

      Pages: 117-165

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21243019
  • [Journal Article] Modeling of contagious downgrades and its application to multi-downgrade protection2010

    • Author(s)
      Hidetoshi Nakagawa
    • Journal Title

      JSIAM Letters

      Volume: 2 Pages: 65-68

    • NAID

      130000303922

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20241038
  • [Journal Article] t分布2ファクターモデルを用いた中小企業CLOのデフォルト依存関係の分析2010

    • Author(s)
      吉規寿郎, 中川秀敏
    • Journal Title

      ジャフィージャーナル:金融工学と市場計量分析『定量的信用リスク評価とその応用』

      Pages: 117-165

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21243019
  • [Journal Article] 相互作用型の格付変更強度モデルによる格付変更履歴データの分析(旧バージョン)2010

    • Author(s)
      中川秀敏
    • Journal Title

      日本応用数理学会論文誌

      Volume: 20(3) Pages: 183-202

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20241038
  • [Journal Article] Modeling of contagious downgrades and its application to multi-downgrade protection2010

    • Author(s)
      H. Nakagawa
    • Journal Title

      JSIAM Letters

      Volume: Vol.2 Pages: 65-68

    • DOI

      10.2139/ssrn.1730802

    • NAID

      130000303922

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20241038
  • [Journal Article] A bank loan pricing model based on recovery rate distribution2008

    • Author(s)
      Takuya Kaneko and Hidetoshi Nakagawa
    • Journal Title

      Internationl Journal of Innovative Computing, Information and Control 4-1

      Pages: 101-108

    • NAID

      120006866578

    • Description
      「研究成果報告書概要(和文)」より
    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-16201033
  • [Journal Article] A bank loan pricing model based on recovery rate distribution2008

    • Author(s)
      Takuya, Kaneko, Hidetoshi, Nakagawa
    • Journal Title

      Internationl Journal of Innovative Computing, Information and Control 4-1

      Pages: 101-108

    • NAID

      120006866578

    • Description
      「研究成果報告書概要(欧文)」より
    • Data Source
      KAKENHI-PROJECT-16201033
  • [Journal Article] 情報コストを考慮した二段階判別スキームの倒産判別への応用2008

    • Author(s)
      金子拓也, 中川秀敏
    • Journal Title

      電子情報通信学会論文誌 Vol. J91-D No. 11

      Pages: 2589-2595

    • NAID

      110007380935

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20241038
  • [Journal Article] A bank loan pricing model based on recovery rate distribution2008

    • Author(s)
      Takuya Kaneko and Hidetoshi Nakagawa
    • Journal Title

      Internatiohl Journal of Innovative Computing, Information and Control 4-1

      Pages: 101-108

    • NAID

      120006866578

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-16201033
  • [Journal Article] The bank loan pricing model based on recovery rate distribution2006

    • Author(s)
      Takuya, KANEKO, Hidetoshi, NAKAGAWA
    • Journal Title

      The Japan Society for Industrial and Applied Mathematics 16-3

      Pages: 317-343

    • NAID

      120006866578

    • Description
      「研究成果報告書概要(欧文)」より
    • Data Source
      KAKENHI-PROJECT-16201033
  • [Journal Article] B/Sを利用した回収率とそれに基づく貸出債権の適正プライシング・モデル2006

    • Author(s)
      金子拓也, 中川秀敏
    • Journal Title

      日本応用数理学会論文誌 Vol.16, No.3

      Pages: 317-343

    • NAID

      120006866578

    • Data Source
      KAKENHI-PROJECT-16201033
  • [Journal Article] B/Sを利用した回収率とそれに基づく貸出債権の適正プライシング・モデル2006

    • Author(s)
      金子拓也・中川秀敏
    • Journal Title

      日本応用数理学会論文誌 Vol.16,No.3

      Pages: 317-343

    • NAID

      120006866578

    • Description
      「研究成果報告書概要(和文)」より
    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-16201033
  • [Journal Article] A Prepayment Model of Mortgage-Backed Securities Based on Unobservable Prepayment Cost Processes2006

    • Author(s)
      Hidetoshi NAKAGAWA, Tomoaki SHOUDA
    • Journal Title

      Advances in Mathematical Economics 8

      Pages: 383-396

    • Data Source
      KAKENHI-PROJECT-16710108
  • [Journal Article] Analyses of Mortgage-Backed Securities Based on Unobservable Prepayment Cost Processes

    • Author(s)
      Hidetoshi NAKAGAWA, Tomoaki SHOUDA
    • Journal Title

      Asia-Pacific Financial Markets

    • Data Source
      KAKENHI-PROJECT-16710108
  • [Presentation] Gross-revenue-based structural credit risk model2024

    • Author(s)
      中川 秀敏, 山中 卓
    • Organizer
      第20回(2023年度)日本応用数理学会研究部会連合発表会
    • Data Source
      KAKENHI-PROJECT-23K04285
  • [Presentation] Discrepancy between Regulations and Practice in Initial Margin Calculation2023

    • Author(s)
      Ryosuke Kitani and Hidetoshi Nakagawa(発表)
    • Organizer
      Minisymposium: Financial Risk Management and Related Topics in 10th International Congress on Industrial and Applied Mathematics (ICIAM 2023)
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-20K04960
  • [Presentation] Gross-revenue-based structural credit risk model2023

    • Author(s)
      Suguru Yamanaka and Hidetoshi Nakagawa
    • Organizer
      Minisymposium: Financial Risk Management and Related Topics in 10th International Congress on Industrial and Applied Mathematics (ICIAM 2023)
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-23K04285
  • [Presentation] Hawkes 過程モデルによる金融リスク計量入門2021

    • Author(s)
      中川 秀敏
    • Organizer
      AI・データ利活用研究会 第16回
    • Data Source
      KAKENHI-PROJECT-20K04960
  • [Presentation] 情報アプローチによるFirst-to-Default Swapプレミアムのダイナミクスについて2021

    • Author(s)
      高田 英行・中川 秀敏
    • Organizer
      日本応用数理学会 2021年度 年会
    • Data Source
      KAKENHI-PROJECT-20K04960
  • [Presentation] A Default Contagion Model for Pricing Defaultable Bonds from an Information Based Perspective2021

    • Author(s)
      中川 秀敏・高田 英行
    • Organizer
      第55回(2021年度夏季)JAFEE大会
    • Data Source
      KAKENHI-PROJECT-20K04960
  • [Presentation] Queue-Reactive Hawkes 過程を用いた株式板情報と価格変動の関係の分析2020

    • Author(s)
      野原 眞・中川秀敏
    • Organizer
      日本応用数理学会 2020年研究部会連合発表会
    • Data Source
      KAKENHI-PROJECT-17K01248
  • [Presentation] Queue-Reactive Hawkes過程を用いた注文発生と待ち注文数量がその後の注文発生強度に与える影響の分析2020

    • Author(s)
      野原 眞・中川 秀敏
    • Organizer
      第53回(2020年度夏季)JAFEE大会
    • Data Source
      KAKENHI-PROJECT-20K04960
  • [Presentation] 情報アプローチによる信用リスクの伝播2020

    • Author(s)
      中川 秀敏・高田 英行
    • Organizer
      日本応用数理学会 2020年度 年会
    • Data Source
      KAKENHI-PROJECT-20K04960
  • [Presentation] Queue-Reactive Hawkes過程を用いた注文発生と待ち注文数量がその後の注文発生強度に与える影響の分析2020

    • Author(s)
      野原 眞・中川 秀敏
    • Organizer
      日本応用数理学会 2020年度 年会
    • Data Source
      KAKENHI-PROJECT-20K04960
  • [Presentation] Conic finance に基づくポートフォリオ構築2020

    • Author(s)
      中川 秀敏
    • Organizer
      日本オぺレーションズ・リサーチ学会 2020年春季研究発表会
    • Data Source
      KAKENHI-PROJECT-17K01248
  • [Presentation] Conic finance に基づくポートフォリオ構築2019

    • Author(s)
      中川 秀敏
    • Organizer
      日本応用数理学会2019年度年会
    • Data Source
      KAKENHI-PROJECT-17K01248
  • [Presentation] Estimation and Visualization of Corporate Bankruptcy Risk Dependence Structure using Multi-dimensional Hawkes Process2019

    • Author(s)
      Hidetoshi Nakagawa (joint work with T. Kemmotsu)
    • Organizer
      国際ワークショップ Workshop on Hawkes processes in data science
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-17K01248
  • [Presentation] Is the Hawkes graph approach applicable for examining the bankruptcy risk dependence structure? An empirical analysis of firms' bankruptcies in Japan2018

    • Author(s)
      Hidetoshi Nakagawa
    • Organizer
      10th World Congress of the Bachelier Finance Society
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-17K01248
  • [Presentation] バーゼルIII 適格Additional Tier1債券(AT1債)に対する構造型プライシングモデルの改良と実証分析2018

    • Author(s)
      杉山 泰平, 中川 秀敏
    • Organizer
      第49回(2018年度夏季)JAFEE大会
    • Data Source
      KAKENHI-PROJECT-17K01248
  • [Presentation] バーゼルIII 適格Additional Tier1債券(AT1債)に対する構造型プライシングモデルの改良と実証分析2018

    • Author(s)
      杉山 泰平, 中川 秀敏
    • Organizer
      日本応用数理学会 2018年度年会
    • Data Source
      KAKENHI-PROJECT-17K01248
  • [Presentation] 多次元 Hawkes 過程を用いたファイナンスのイベント・データの分析~日本企業の倒産リスクの伝播構造推定の事例を中心に~2017

    • Author(s)
      中川秀敏
    • Organizer
      2017年度中之島ワークショップ「金融工学・数理計量ファイナンスの諸問題 2017」
    • Invited
    • Data Source
      KAKENHI-PROJECT-17K01248
  • [Presentation] Hawkesグラフの推定による日本企業の倒産リスク伝播構造の視覚化2017

    • Author(s)
      監物 輝夫・中川 秀敏
    • Organizer
      第46回(2016年度冬季)JAFEE大会
    • Place of Presentation
      武蔵大学(東京都練馬区)
    • Year and Date
      2017-02-17
    • Data Source
      KAKENHI-PROJECT-26330026
  • [Presentation] Hawkesグラフの推定による日本企業の倒産リスク伝播構造の視覚化2017

    • Author(s)
      監物 輝夫・中川 秀敏
    • Organizer
      日本オペレーションズ・リサーチ学会 2017年春季研究発表会(創立60周年記念大会)
    • Place of Presentation
      沖縄県市町村自治会館(沖縄県那覇市)
    • Year and Date
      2017-03-16
    • Data Source
      KAKENHI-PROJECT-26330026
  • [Presentation] Hawkes グラフによる倒産リスクの伝播構造の推定2017

    • Author(s)
      中川秀敏
    • Organizer
      統計数理研究所 リスク解析戦略研究センター 第5回金融シンポジウム「ファイナンスリスクのモデリングと制御Ⅱ」
    • Invited
    • Data Source
      KAKENHI-PROJECT-17K01248
  • [Presentation] An empirical study of credit risk assessment with an EBIT-based structural model2016

    • Author(s)
      Suguru Yamanaka (Co-author: Hidetoshi Nakagawa)
    • Organizer
      9th World Congress of the Bachelier Finance Society
    • Place of Presentation
      Crowne Plaza Times Square Hotel, New York (USA)
    • Year and Date
      2016-07-15
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-26330026
  • [Presentation] 利益ベースの構造型モデルによる信用リスク評価に関する実証分析2016

    • Author(s)
      山中卓, 中川秀敏
    • Organizer
      第44回(2015年度冬季)JAFEE大会
    • Place of Presentation
      慶應義塾大学三田キャンパス(東京都・港区)
    • Year and Date
      2016-01-25
    • Data Source
      KAKENHI-PROJECT-26330026
  • [Presentation] Some applications of an earning-based structural model to credit risk measurements2016

    • Author(s)
      Hidetoshi Nakagawa
    • Organizer
      Winter Workshop on Operations Research, Finance and Mathematics 2016
    • Place of Presentation
      Sahoro Resort, Hokkaido(北海道・上川郡新得町)
    • Year and Date
      2016-02-15
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-26330026
  • [Presentation] 利益ベースの構造型モデルによるデフォルト率評価に関する実証分析2015

    • Author(s)
      山中卓, 中川秀敏
    • Organizer
      日本応用数理学会 2015年度年会
    • Place of Presentation
      金沢大学角間キャンパス(石川県・金沢市)
    • Year and Date
      2015-09-09
    • Data Source
      KAKENHI-PROJECT-26330026
  • [Presentation] OnSurrender and Default Risk2012

    • Author(s)
      H. Nakagawa and O. Le Courtois
    • Organizer
      The CREST and4th Ritsumeikan-Florence Workshop on Risk, Simulation and Related Topics
    • Place of Presentation
      立命館アジア太平洋大学(大分)
    • Year and Date
      2012-03-10
    • Data Source
      KAKENHI-PROJECT-20241038
  • [Presentation] On Surrender and Default Risk2012

    • Author(s)
      Hidetoshi Nakagawa (joint work with O. Le Courtois)
    • Organizer
      The CREST and 4th Ritsumeikan-Florence Works hop on Risk, Simulation and Related Topics
    • Place of Presentation
      立命館アジア太平洋大学(大分)(招待講演)
    • Year and Date
      2012-03-10
    • Data Source
      KAKENHI-PROJECT-20241038
  • [Presentation] Analysis of credit event impact with self-exciting intensity model2011

    • Author(s)
      山中卓,杉原正顯,中川秀敏
    • Organizer
      科学研究費研究集会「計量ファイナンス2011」
    • Place of Presentation
      東京大学学術交流棟(小島ホール)
    • Year and Date
      2011-09-29
    • Data Source
      KAKENHI-PROJECT-21243019
  • [Presentation] 自己励起性強度による信用イベント伝播のモデル化について2011

    • Author(s)
      山中卓,杉原正顯,中川秀敏
    • Organizer
      第35回JAFEE大会
    • Place of Presentation
      慶應義塾大学三田キャンパス北館
    • Year and Date
      2011-10-14
    • Data Source
      KAKENHI-PROJECT-21243019
  • [Presentation] 自己励起性強度による信用イベント伝播のモデル化について2011

    • Author(s)
      山中卓, 杉原正顯, 中川秀敏
    • Organizer
      第35回JAFEE大会
    • Place of Presentation
      慶應義塾大学三田キャンパス北館(発表)
    • Year and Date
      2011-10-14
    • Data Source
      KAKENHI-PROJECT-21243019
  • [Presentation] Analysis of credit event impact with self-exciting intensity model2011

    • Author(s)
      山中卓, 杉原正顯, 中川秀敏
    • Organizer
      応用統計ワークショップ2011秋の番外編2,東京大学大学院経済学研究科
    • Place of Presentation
      東京大学学術交流棟(小島ホール)(発表)
    • Year and Date
      2011-09-29
    • Data Source
      KAKENHI-PROJECT-21243019
  • [Presentation] Credit Risk Modeling with Delayed Information2011

    • Author(s)
      Takanori Adachi (発表)(co-author: Ryozo Miura, Hidetoshi Nakagawa)
    • Organizer
      QMF2011
    • Place of Presentation
      Hilton Sydney (オーストラリア)
    • Year and Date
      2011-12-14
    • Data Source
      KAKENHI-PROJECT-20241038
  • [Presentation] Valuation of Constant Maturity Credit Default Swaps2010

    • Author(s)
      Hidetoshi Nakagawa, Meng-Lan Yueh, Ming-Hua Hsieh
    • Organizer
      「ファイナンスの数理解析とその応用」研究集会
    • Place of Presentation
      京都大学数理解析研究所
    • Year and Date
      2010-11-24
    • Data Source
      KAKENHI-PROJECT-21243019
  • [Presentation] Modeling of Contagious Downgrades and Its Application to Multi-Downgrade Protection2010

    • Author(s)
      Hidetoshi Nakagawa
    • Organizer
      Processes : Inference, Asymptotic Methods
    • Place of Presentation
      東京大学大学院数理科学研究科棟, 東京
    • Year and Date
      2010-02-23
    • Data Source
      KAKENHI-PROJECT-20241038
  • [Presentation] Modeling of contagious downgrades and its application to multi-downgrade protection2010

    • Author(s)
      H. Nakagawa
    • Organizer
      Sixth World Congress of the Bachelier Finance Society
    • Place of Presentation
      Hilton Toronto(カナダ)
    • Year and Date
      2010-06-24
    • Data Source
      KAKENHI-PROJECT-20241038
  • [Presentation] 通貨オプション市場におけるボラティリティ・リスクプレミアムの推定2010

    • Author(s)
      佐々木洋(発表), 中川秀敏
    • Organizer
      「ファイナンスの数理解析とその応用」研究集会
    • Place of Presentation
      京都大学数理解析研究所
    • Year and Date
      2010-11-25
    • Data Source
      KAKENHI-PROJECT-21243019
  • [Presentation] Modeling of Contagious Downgrades and Its Application to Multi-Downgrade Protection2010

    • Author(s)
      Hidetoshi Nakagawa
    • Organizer
      Sixth World Congress of the Bachelier Finance Society
    • Place of Presentation
      Hilton, Toronto, カナダ
    • Year and Date
      2010-06-24
    • Data Source
      KAKENHI-PROJECT-20241038
  • [Presentation] Modeling of Contagious Downgrades and Its Application to Multi-Downgrade Protection2009

    • Author(s)
      Hidetoshi Nakagawa
    • Organizer
      Quantitative Methods in Finance Conference (QMF) 2009
    • Place of Presentation
      Sydney (Australia)
    • Year and Date
      2009-12-16
    • Data Source
      KAKENHI-PROJECT-20241038
  • [Presentation] Modeling of contagious rating changes and its application to multi-downgrade protection2009

    • Author(s)
      H. Nakagawa
    • Organizer
      The 2nd International Financial Research Forum
    • Place of Presentation
      Pavillon Royal(フランス)
    • Year and Date
      2009-03-20
    • Data Source
      KAKENHI-PROJECT-20241038
  • [Presentation] Modeling of Contagious Rating Changes2009

    • Author(s)
      中川秀敏
    • Organizer
      科研費研究集会「数理ファイナンスとその周辺」
    • Place of Presentation
      九州大学西新プラザ
    • Year and Date
      2009-01-23
    • Data Source
      KAKENHI-PROJECT-20241038
  • [Presentation] 相互作用型 Hawkes 過程による格付変更のモデル化とその応用2009

    • Author(s)
      中川秀敏
    • Organizer
      日本オペレーションズ・リサーチ学会 2009年春季研究発表会
    • Place of Presentation
      筑波大学つくばキャンパス
    • Year and Date
      2009-03-17
    • Data Source
      KAKENHI-PROJECT-20241038
  • [Presentation] 業種カテゴリに対する相互作用型強度モデルを用いた格下げの自励性・相互作用性の分析2009

    • Author(s)
      中川秀敏
    • Organizer
      日本オペレーションズ・リサーチ学会2009年秋季研究発表会
    • Place of Presentation
      長崎大学文教キャンパス(長崎)
    • Year and Date
      2009-09-09
    • Data Source
      KAKENHI-PROJECT-20241038
  • [Presentation] An application of top-down approach for bank loan portfolio based on rating processes2009

    • Author(s)
      金子拓也(発表)、中川秀敏
    • Organizer
      日本オペレーションズ・リサーチ学会2009年秋季研究発表会
    • Place of Presentation
      長崎大学文教キャンパス(長崎)
    • Year and Date
      2009-09-09
    • Data Source
      KAKENHI-PROJECT-20241038
  • [Presentation] Modeling of Contagious Downgrades and Its Application to Muiti-Downgrade Protection2009

    • Author(s)
      Hidetoshi Nakagawa
    • Organizer
      Quantitative Methods in Finance Conference (QMF) 2009
    • Place of Presentation
      Amora Hotel(Sydney.Australia)
    • Year and Date
      2009-12-16
    • Data Source
      KAKENHI-PROJECT-20241038
  • [Presentation] Modeling of Contagious Downgrades and Its Application to Muiti-Downgrade Protection2009

    • Author(s)
      Hidetoshi Nakagawa
    • Organizer
      Quantitative Methods in Finance Conference(QMF)2009
    • Place of Presentation
      Amora Hotel(オーストラリア)
    • Year and Date
      2009-12-16
    • Data Source
      KAKENHI-PROJECT-20241038
  • [Presentation] An application of top-down approach for bank loan portfolio based on rating processes2009

    • Author(s)
      金子拓也(発表)、中川秀敏
    • Organizer
      日本応用数理学会2009年度年会
    • Place of Presentation
      大阪大学豊中キャンパス(大阪)
    • Year and Date
      2009-09-29
    • Data Source
      KAKENHI-PROJECT-20241038
  • [Presentation] Modeling of Contagious Rating Changes and Its Application to Multi-Downgrade Protection2009

    • Author(s)
      Hidetoshi Nakagawa
    • Organizer
      The 2^<nd> International Financial Research Forum
    • Place of Presentation
      Pavillon Royal (Paris)
    • Year and Date
      2009-03-20
    • Data Source
      KAKENHI-PROJECT-20241038
  • [Presentation] An Application of Top-down Approach for Credit Loan Portfolio Basde on Ratings2009

    • Author(s)
      金子拓也(発表)、中川秀敏
    • Organizer
      第31回JAFEE大会
    • Place of Presentation
      法政大学市ヶ谷キャンパスボアソナードタワー(東京)
    • Year and Date
      2009-07-30
    • Data Source
      KAKENHI-PROJECT-20241038
  • [Presentation] Wishart Affine Stochastic Correlation (WASC) モデルに基づくオプション・プライシング2008

    • Author(s)
      岩城賢哉(発表), 中川秀敏
    • Organizer
      日本オペレーションズ・リサーチ学会2008年秋季研究発表会
    • Place of Presentation
      札幌コンベンションセンター
    • Year and Date
      2008-09-10
    • Data Source
      KAKENHI-PROJECT-20241038
  • [Presentation] Dependence Structure of Financial Risks in a Large Portfolio2008

    • Author(s)
      Hidetoshi Nakagawa
    • Organizer
      シンポジウム「定量的リスク管理 : 理論と応用」
    • Place of Presentation
      学術総合センター(東京)
    • Year and Date
      2008-09-13
    • Data Source
      KAKENHI-PROJECT-20241038
  • [Presentation] L1正則化SVMの中小企業デフォルト判別問題への適用と考察2008

    • Author(s)
      関野正志(発表), 中川秀敏
    • Organizer
      日本オペレーションズ・リサーチ学会2008年秋季研究発表会
    • Place of Presentation
      札幌コンベンションセンター
    • Year and Date
      2008-09-11
    • Data Source
      KAKENHI-PROJECT-20241038
  • [Presentation] A Bank Loan Pricing Model Based on Recovery Rate Distribution2007

    • Author(s)
      Takuya, KANEKO, Hidetoshi, NAKAGAWA
    • Organizer
      The ACE International Conference
    • Place of Presentation
      City University of Hong Kong
    • Year and Date
      2007-12-12
    • Description
      「研究成果報告書概要(欧文)」より
    • Data Source
      KAKENHI-PROJECT-16201033
  • [Presentation] A Bank Loan Pricing Model Based on Recovery Rate Distribution2007

    • Author(s)
      Takuya KANEKO, Hidetoshi NAKAGAWA,
    • Organizer
      The ACE International Conference
    • Place of Presentation
      Gity University of Hong Kong
    • Year and Date
      2007-12-12
    • Description
      「研究成果報告書概要(和文)」より
    • Data Source
      KAKENHI-PROJECT-16201033
  • [Presentation] Randomized Merton モデルおよびその改良に基づく社債スプレッドの実証分析

    • Author(s)
      瀬戸口 智美, 中川 秀敏
    • Organizer
      第37回 2012年度夏季JAFEE大会
    • Place of Presentation
      成城大学(東京都)
    • Data Source
      KAKENHI-PROJECT-20241038
  • [Presentation] Randomized Merton モデルおよびその改良に基づく社債スプレッドの実証分析

    • Author(s)
      瀬戸口 智美, 中川 秀敏
    • Organizer
      日本応用数理学会 2012年度年会
    • Place of Presentation
      稚内全日空ホテル(北海道)
    • Data Source
      KAKENHI-PROJECT-20241038
  • [Presentation] Credit Risk Modeling with Delayed Information

    • Author(s)
      Takanori Adachi, (co-author:Ryozo Miura, Hidetoshi Nakagawa)
    • Organizer
      Workshop on Probability and Statistics in Finance
    • Place of Presentation
      University of California, Berkeley(USA)
    • Data Source
      KAKENHI-PROJECT-20241038
  • [Presentation] Randomized Merton モデルおよびその改良に基づく社債スプレッドの実証分析

    • Author(s)
      瀬戸口 智美, 中川 秀敏
    • Organizer
      科研費シンポジウム「情報化ネットワーク社会に向けた高度な専門的数理技術ライブラリの研究と開発」
    • Place of Presentation
      東京工業大学 理財工学研究センター(東京都)
    • Invited
    • Data Source
      KAKENHI-PROJECT-20241038
  • [Presentation] Credit Risk Modeling with Delayed Information

    • Author(s)
      足立 高徳, 三浦 良造, 中川秀敏
    • Organizer
      日本応用数理学会 2012年度年会
    • Place of Presentation
      稚内全日空ホテル(北海道)
    • Data Source
      KAKENHI-PROJECT-20241038
  • 1.  高田 英行 (00637423)
    # of Collaborated Projects: 3 results
    # of Collaborated Products: 5 results
  • 2.  NINOMIYA Shoiti (70313377)
    # of Collaborated Projects: 2 results
    # of Collaborated Products: 0 results
  • 3.  MIZUNO Shinji (90174036)
    # of Collaborated Projects: 2 results
    # of Collaborated Products: 0 results
  • 4.  HIGA Kunihiko (50282877)
    # of Collaborated Projects: 2 results
    # of Collaborated Products: 0 results
  • 5.  OGATA Wakaha (90275313)
    # of Collaborated Projects: 2 results
    # of Collaborated Products: 0 results
  • 6.  足立 高徳 (60733722)
    # of Collaborated Projects: 2 results
    # of Collaborated Products: 0 results
  • 7.  KOJIMA Masakazu (90092551)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 8.  NAKATA Kazuhide (00312984)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 9.  NAKANO Yumiharu (00452409)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 10.  KITAHARA Tomonari (10551260)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 11.  TAKANO Yuichi (40602959)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 3 results
  • 12.  KUNITOMO Naoto (10153313)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 13.  OYA Kosuke (20233281)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 14.  OHTA Wataru (20293681)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 15.  HAYASHI Takaki (80420826)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 16.  KAWASAKI Yoshinori (70249910)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 17.  TSUKAHARA Hideatsu (10282550)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 18.  HACHIYA Toyohiko (00251645)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 19.  高橋 幸雄 (70016153)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 20.  YAMANAKA Suguru
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 5 results
  • 21.  KENMOTSU Teruo
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 2 results

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