Kagraoka Yusho 神楽岡優昌

… Alternative Names

KAGRAOKA Yusho 神楽岡優昌

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Researcher Number	40328927
Other IDs
Affiliation (Current)	2022: 武蔵大学, 経済学部, 教授
Affiliation (based on the past Project Information) *help	2018 – 2021: 武蔵大学, 経済学部, 教授 2009 – 2016: 武蔵大学, 経済学部, 教授
Review Section/Research Field	Principal Investigator Basic Section 07060:Money and finance-related / Money/ Finance Except Principal Investigator Public finance/Monetary economics / Accounting
Keywords	Principal Investigator リスクフリー・レート / 国債 / デフォルト強度 / 確率微分方程式 / クレジット・デフォルト・スワップ / クレジット・スプレッド / 金利の期間構造 / クレジット・デフォルト・スワップ（CDS) / 金利の正値性 / ソブリンCDS … More / quanto CDS / Fractional Step Methods / 相関 / Radial Basis Functions / CDS / 有限差分法 / Fractional Step法 / 動径基底関数 / Nelson=Siegelモデル / ソブリンCDSプレミアム / 国債金利 / CDSプレミアム / 予測 / スポットレートの期間構造 / イールドカーブ・コントロール / カルマンフィルター / 期間構造 / 金利 / コンビニエンス・イールド / Laguerre 多項式 … More Except Principal Investigator 金融危機 / 資源ブーム / 海外資本流入 / ガバナンス / 価格の共変動 / 商品先物市場 / 為替変動 / 資本規制 / ダイナミック・ファクター・モデル / 資源価格 / 資本流入 / 為替政策 / 投機的取引 / ボラティリティー / 公的債務 / コモディティ / 流動性 / 共通ファクター / 金融市場化 / 資源の呪い / オルタナティブ投資 / オルタナティ投資 / 減価償却 / 協力ゲーム理論 / 制度の合理性 / コア / シャープレイ値 / 修正シャープレイ値 / シミュレーション / 会計 / 制度設計 / 協力ゲーム / 主観確率 / 情報構造 / 慣習の制度化 / 会計基準 Less

Term structure models in financePrincipal Investigator
- Principal Investigator
  
  神楽岡優昌
- Project Period (FY)
  2021 – 2023
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Review Section
  
  Basic Section 07060:Money and finance-related
- Research Institution
  Musashi University
Pricing and forecasting of sovereign CDS premium with stochastic risk-free rate and default intensityPrincipal Investigator
- Principal Investigator
  
  Kagraoka Yusho
- Project Period (FY)
  2018 – 2020
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Review Section
  
  Basic Section 07060:Money and finance-related
- Research Institution
  Musashi University
Estimation of CDS-adjusted risk-free ratesPrincipal Investigator
- Principal Investigator
  
  Kagraoka Yusho
- Project Period (FY)
  2014 – 2016
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Money/ Finance
- Research Institution
  Musashi University
The Design of Financial Reporting System using Cooperative Game Theory and Simulation
- Principal Investigator
  
  ARATA Eiko
- Project Period (FY)
  2013 – 2016
- Research Category
  
  Grant-in-Aid for Challenging Exploratory Research
- Research Field
  
  Accounting
- Research Institution
  Musashi University
How has the speculation influenced international commodity market movements and resourch-rich countries?
- Principal Investigator
  
  OHNO Sanae
- Project Period (FY)
  2012 – 2014
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Public finance/Monetary economics
- Research Institution
  Musashi University
Fluctuations of Commodity Prices and Financial Crisis in Resource-Rich Countries
- Principal Investigator
  
  OHNO Sanae
- Project Period (FY)
  2009 – 2011
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  Public finance/Monetary economics
- Research Institution
  Musashi University

All 2021 2020 2019 2018 2017 2016 2014 2013 2012 2011 2010 2009 Other

All Journal Article Presentation Book

[Book] Common dynamic factors driving metal and energy prices(大野早苗編)2012
- Author(s)
  Yusho Kagraoka
- Publisher
  永和印刷株式会社(『資源保有国の金融危機と資源価格の変動特性に関する研究』科学研究費補助金・研究報告書(課題番号21330080)第1章所収)
- Data Source
  KAKENHI-PROJECT-21330080
[Book] Common dynamic factors driving metal and energy prices2012
- Author(s)
  Yusho Kagraoka
- Publisher
  永和印刷株式会社
- Data Source
  KAKENHI-PROJECT-21330080
[Journal Article] A unified model of sovereign CDS quanto spreads and government bond yields2021
- Author(s)
  Yusho Kagraoka
- Journal Title
  
  Musashi University Discussion Paper Series
  
  Volume: 99 Pages: 1-19
- Data Source
  KAKENHI-PROJECT-18K01707
[Journal Article] The Fractional Step Method versus the Radial Basis Functions for Option Pricing with Correlated Stochastic Processes2020
- Author(s)
  Yusho Kagraoka
- Journal Title
  
  International Journal of Financial Studies
  
  Volume: 8 Pages: 77-77
- DOI
  10.3390/ijfs8040077
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-18K01707
[Journal Article] Are the Risk-Free Interest Rates Correlated with Sovereign Default Intensities?2019
- Author(s)
  Yusho KAGRAOKA
- Journal Title
  
  The Journal of Fixed Income
  
  Volume: 28-4 Pages: 91-103
- DOI
  10.3905/jfi.2019.1.068
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18K01707
[Journal Article] The Changing Shape of Sovereign Default Intensities2019
- Author(s)
  Yusho Kagraoka, Zakaria Moussa
- Journal Title
  
  Theory and Applications of Time Series Analysis: Selected Contributions from ITISE 2018, Springer
  
  Volume: 2018 Pages: 203-216
- DOI
  10.1007/978-3-030-26036-1_14
- Peer Reviewed / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-18K01707
[Journal Article] 自国通貨建てと外国通貨建てのソブリンCDSを用いたリスクフリー・レートのタームストラクチャーの推定－カウンターパーティ・リスクの影響の除去－2016
- Author(s)
  神楽岡　優昌
- Journal Title
  
  武蔵大学論集
  
  Volume: 64-1 Pages: 20-41
- NAID
  120005867687
- Acknowledgement Compliant / Open Access
- Data Source
  KAKENHI-PROJECT-26380404
[Journal Article] Common dynamic factors in driving commodity prices: Implications of a generalized dynamic factor model2016
- Author(s)
  Yusho Kagraoka
- Journal Title
  
  Economic Modelling
  
  Volume: 52 Pages: 609-617
- DOI
  10.1016/j.econmod.2015.10.005
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-26380404
[Journal Article] 自国通貨建てと外国通貨建てのソブリンCDSを用いたリスクフリー・レートのタームストラクチャーの推定－カウンターパーティ・リスクの影響の除去－2016
- Author(s)
  神楽岡優昌
- Journal Title
  
  武蔵大学論集
  
  Volume: 64-1 Pages: 20-41
- NAID
  120005867687
- Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-25590104
[Journal Article] Estimation of the Term Structure of CDS-Adjusted Risk-Free Interest Rates2014
- Author(s)
  Yusho KAGRAOKA, Zakaria Moussa
- Journal Title
  
  The Journal of Fixed Income
  
  Volume: 24-2 Pages: 29-44
- DOI
  10.3905/jfi.2014.24.2.029
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-26380404
[Journal Article] Estimation of the Term Structure of CDS-Adjusted Risk-Free Interest Rates2014
- Author(s)
  Yusho Kagraoka & Zakaria Moussa
- Journal Title
  
  The Journal of Fixed Income
  
  Volume: 24 Pages: 29-44
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-25590104
[Journal Article] Quantitative Easing, Credibility and the Time-Varying Dynamics of the Term Structure of Interest rate in Japan2013
- Author(s)
  Zakaria Moussa, Yusho Kagraoka
- Journal Title
  
  Journal of International Financial Markets, Institutions and Money
  
  Volume: 25 Pages: 181-201
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-24530367
[Journal Article] 消費者金融会社の信用リスク―CDS プレミアムと社債スプレッドの比較―2013
- Author(s)
  神楽岡優昌
- Journal Title
  
  パーソナルファイナンス学会年報
  
  Volume: 13 Pages: 35-47
- NAID
  110009674724
- Data Source
  KAKENHI-PROJECT-24530367
[Journal Article] Common dynamic factors driving metal and energy prices2012
- Author(s)
  神楽岡優昌
- Journal Title
  
  『武蔵大学論集』
  
  Volume: 第60巻第2号 Pages: 1-43
- NAID
  40019580401
- Data Source
  KAKENHI-PROJECT-24530367
[Journal Article] 保険契約解約のパネル計数データ・モデル2011
- Author(s)
  Yusho Kagraoka
- Journal Title
  
  JARIP Journal(日本保険・年金リスク学会誌)
  
  Volume: Vol.5, No.1 Pages: 59-81
- NAID
  40018832894
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21330080
[Journal Article] 保険契約解約のパネル計数データ・モデル2011
- Author(s)
  Yusho Kagraoka
- Journal Title
  
  JARIP Journal
  
  Volume: 5-1 Pages: 59-81
- NAID
  40018832894
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21330080
[Journal Article] A time-varying common risk factor affecting corporate yield spreads2010
- Author(s)
  Yusho Kagraoka
- Journal Title
  
  The European Journal of Finance
  
  Volume: Vol.16, No.6 Pages: 527-539
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21330080
[Journal Article] Leptokurtic properties of JGB yield processes2010
- Author(s)
  Yusho KAGRAOKA
- Journal Title
  
  武蔵大学論集第57巻第3・4号
  
  Pages: 361-382
- NAID
  40017065864
- Data Source
  KAKENHI-PROJECT-21330080
[Journal Article] Leptokurtic Properties of JGB Yield Processes2010
- Author(s)
  Yusho Kagraoka
- Journal Title
  
  武蔵大学論集
  
  Volume: 57巻3・4号 Pages: 361-382
- NAID
  40017065864
- Data Source
  KAKENHI-PROJECT-21330080
[Journal Article] 債権ポートフォリオのデフォルト相関モデル2009
- Author(s)
  神楽岡優昌
- Journal Title
  
  パーソナルファイナンス学会年報
  
  Volume: No.10 Pages: 75-88
- NAID
  110007987963
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21330080
[Journal Article] A time-varying common risk factor affecting corporate yield spreads
- Author(s)
  Yusho KAGRAOKA
- Journal Title
  
  The European Journal of Finance (accepted)
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21330080
[Presentation] On the changing shape of the sovereign default intensities2018
- Author(s)
  Yusho Kagraoka, Zakaria Moussa
- Organizer
  International Conference on Time Series and Forecasting (ITISE 2018)
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-18K01707
[Presentation] The dependence of the risk-free interest rate on sovereign default intensity:evidence from the German and U.S. markets2017
- Author(s)
  Yusho Kagraoka
- Organizer
  3rd International Workshop on “Financial Markets and Nonlinear Dynamics” (FMND)
- Place of Presentation
  France, Paris
- Year and Date
  2017-06-01
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26380404
[Presentation] Determinants of CDS premium and bond yield spread2013
- Author(s)
  Yusho Kagraoka
- Organizer
  16th Conference of the Swiss Society for Financial Market Research
- Place of Presentation
  Zurich, Swiss
- Data Source
  KAKENHI-PROJECT-24530367
[Presentation] Common Dynamic Factors Driving Metal and Energy Prices2011
- Author(s)
  Yusho Kagraoka
- Organizer
  Forecasting Financial Markets (FFM) Conference
- Place of Presentation
  Marseille, France
- Data Source
  KAKENHI-PROJECT-21330080
[Presentation] Common Dynamic Factors Driving Metal and Energy Prices2011
- Author(s)
  Yusho Kagraoka
- Organizer
  Forecasting Financial Markets(FFM) Conference
- Place of Presentation
  Marseille、France
- Data Source
  KAKENHI-PROJECT-21330080
[Presentation] New Mechanism of Market Price Observation : Liquidity and Leptokurtic Return Distribution2010
- Author(s)
  Yusho Kagraoka
- Organizer
  6th Portuguese Finance Network
- Place of Presentation
  Azores, Portugal
- Data Source
  KAKENHI-PROJECT-21330080
[Presentation] New Mechanism of Market Price Observation : Liquidity and Leptokurtic Return Distribution2010
- Author(s)
  Yusho Kagraoka
- Organizer
  6th Portuguese Finance Network
- Place of Presentation
  Azores、Portugal
- Data Source
  KAKENHI-PROJECT-21330080
[Presentation] Leptokurtic Properties of JGB Yield Processes、Campus for Finance2010
- Author(s)
  Yusho Kagraoka
- Organizer
  Research Conference 10
- Place of Presentation
  Vallendar、Germany
- Data Source
  KAKENHI-PROJECT-21330080
[Presentation] Leptokurtic properties of JGB yield processes2010
- Author(s)
  Yusho KAGRAOKA
- Organizer
  Campus for Finance, Research Conference 10
- Place of Presentation
  Vallendar, Germany
- Data Source
  KAKENHI-PROJECT-21330080
[Presentation] 相関構造を取り込んだ債権ポートフォリオのリスク・モデル2009
- Author(s)
  神楽岡優昌
- Organizer
  パーソナルファイナンス学会第10回大会
- Place of Presentation
  早稲田大学,東京
- Data Source
  KAKENHI-PROJECT-21330080
[Presentation] Estimation of the term structure of CDS-adjusted risk-free interest rates
- Author(s)
  Yusho KAGRAOKA, Zakaria Moussa
- Organizer
  Portuguese Finance Network 2014
- Place of Presentation
  Vilamoura, Portugal
- Year and Date
  2014-06-18 – 2014-06-20
- Data Source
  KAKENHI-PROJECT-26380404

1. OHNO Sanae (40307145)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
2. CHANO Tsutomu (10532195)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
3. TOGO Ken (30308019)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
4. ITO Nariyasu (60203155)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
5. HAYASHI Yasushi (30409560)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
6. ARATA Eiko (00386351)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
7. 下川拓平 (00267337)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
8. 井上健一 (60287852)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
9. Moussa Zakaria

# of Collaborated Projects: 1 results

# of Collaborated Products: 2 results

Kagraoka Yusho 神楽岡 優昌

KAGRAOKA Yusho 神楽岡 優昌

Research Projects

Research Products

Co-Researchers

Term structure models in financePrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Review Section

Research Institution

Pricing and forecasting of sovereign CDS premium with stochastic risk-free rate and default intensityPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Review Section

Research Institution

Estimation of CDS-adjusted risk-free ratesPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

The Design of Financial Reporting System using Cooperative Game Theory and Simulation

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

How has the speculation influenced international commodity market movements and resourch-rich countries?

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Fluctuations of Commodity Prices and Financial Crisis in Resource-Rich Countries

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

[Book] Common dynamic factors driving metal and energy prices(大野早苗編)2012

Author(s)

Publisher

Data Source

[Book] Common dynamic factors driving metal and energy prices2012

Author(s)

Publisher

Data Source

[Journal Article] A unified model of sovereign CDS quanto spreads and government bond yields2021

Author(s)

Journal Title

Data Source

[Journal Article] The Fractional Step Method versus the Radial Basis Functions for Option Pricing with Correlated Stochastic Processes2020

Author(s)

Journal Title

DOI

Data Source

[Journal Article] Are the Risk-Free Interest Rates Correlated with Sovereign Default Intensities?2019

Author(s)

Journal Title

DOI

Data Source

[Journal Article] The Changing Shape of Sovereign Default Intensities2019

Author(s)

Journal Title

DOI

Data Source

[Journal Article] 自国通貨建てと外国通貨建てのソブリンCDSを用いたリスクフリー・レートのタームストラクチャーの推定－カウンターパーティ・リスクの影響の除去－2016

Author(s)

Journal Title

NAID

Data Source

[Journal Article] Common dynamic factors in driving commodity prices: Implications of a generalized dynamic factor model2016

Author(s)

Journal Title

DOI

Data Source

[Journal Article] 自国通貨建てと外国通貨建てのソブリンCDSを用いたリスクフリー・レートのタームストラクチャーの推定－カウンターパーティ・リスクの影響の除去－2016

Author(s)

Kagraoka Yusho 神楽岡優昌

KAGRAOKA Yusho 神楽岡優昌