NAKAGAWA Hidetoshi 中川秀敏

… Alternative Names

Nakagawa Hidetoshi 中川秀敏

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Researcher Number	30361760
Other IDs
External Links
Affiliation (Current)	2026: 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 – 2024: 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 カウンターパーティーリスク / 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 / 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

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

[Journal Article] Discrepancy between regulations and practice in initial margin calculation2024
- Author(s)
  Kitani Ryosuke、Nakagawa Hidetoshi
- Journal Title
  
  Japan Journal of Industrial and Applied Mathematics
  
  Volume: 41 Issue: 3 Pages: 1567-1592
- DOI
  10.1007/s13160-024-00660-8
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-23K04285
[Journal Article] Mathematical Issues regarding Counterparty Risk2024
- Author(s)
  中川秀敏
- Journal Title
  
  Bulletin of the Japan Society for Industrial and Applied Mathematics
  
  Volume: 34 Issue: 2 Pages: 104-112
- DOI
  10.11540/bjsiam.34.2_104
- ISSN
  2432-1982
- Year and Date
  2024-06-25
- Language
  Japanese
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-23K04285
[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] 市場取引されない営業資産を保有する企業のデフォルトリスク評価2025
- Author(s)
  中川秀敏（発表）, 山中卓
- Organizer
  第21回(2024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 Calculation2024
- Author(s)
  Ryosuke Kitani (joint work with Hidetoshi Nakagawa)
- Organizer
  Quantitative Methods in Finance (QMF) 2024
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-23K04285
[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

NAKAGAWA Hidetoshi 中川 秀敏

Nakagawa Hidetoshi 中川 秀敏

Research Projects

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Co-Researchers

Development and application of credit risk models that take climate change risk into accountPrincipal Investigator

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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

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Theoretical study of credit risk contagion mechanisms and empirical analysis using machine learning methodsPrincipal Investigator

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Verification of generation mechanism of market liquidity risk with conic finance and Limit-order-book processPrincipal Investigator

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Construction and Applications of risk measure theory based on category theoryPrincipal Investigator

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New Developments in Financial Econometrics and Financial Markets in Japan

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Research and development of the advanced expert mathematical library for the information network society

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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

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Research and development of new IT models for financial risk management.

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[Journal Article] Discrepancy between regulations and practice in initial margin calculation2024

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[Journal Article] Mathematical Issues regarding Counterparty Risk2024

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

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[Journal Article] Analysis of order book dynamics in the Japanese stock market using the Queue-Reactive Hawkes process2021

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NAKAGAWA Hidetoshi 中川秀敏

Nakagawa Hidetoshi 中川秀敏