top of page


Improving Portfolio-Risk Assessment with Latent-Factor-Based Simulation
Author, GX Labs Working Paper, 2016

Extending The Black-Cox Model for Practical Credit Risk Management
Co-Author, CDAR Working Paper, 2016

Identifying Broad and Narrow Financial Risk Factors with Convex Optimization
Co-Author, GX Labs Working Paper, 2016

Balancing Model Performance and Complexity in Real-world Analytics Applications
Author, GX Labs, 2016

How to Communicate Complexity with Cognitive Compelling Clarity
Author, GX Labs, 2016

Pension Plan Asset-Liability Modeling: National Pension Plans
Co-Author, GX Labs Working Paper, 2015

Pension Plan Asset-Liability Modeling: Pre-Funded Plan
Co-Author, GX Labs Working Paper, 2015

Review of Contingent Convertibles [CoCos]: A Potent Instrument for Financial Reform
Author, Global Credit Review, 2015

Review of Financial Modeling, Actuarial Valuation, and Solvency in Insurance
Author, Quantitative Finance, 2015

Stress Testing Bank Capital
Co-Author, Working Paper, 2013

Developing A Risk Appetite Framework Given A Financial Institution’s Risk Capacity and Attitude
Co-Author, 2013

Stress Testing—Challenges for Risk Assessment Using Macroeconomic Scenarios
Co-Author, 2013 [Published in Japanese]

Approaches to Improving Bank Share Value Using Credit Portfolio Management and Credit-Transfer Pricing
Co-Author, Journal of Investment Management, 2013

Using Risk Appetite Assessment and Stress Testing to Improve Bank Performance
Author, Working Paper, 2012

Using Risk Appetite Assessment to Improve Bank Performance
Author, 2011 [Published in Japanese]

Active Credit Portfolio Management in Practice
Co-Author, Wiley, 2009

Credit Portfolio Risk and Performance Metrics: Lessons from the Sub-Prime Crisis
Author, 2008

Two Chapters in Credit Derivatives: Techniques to Manage Credit Risk for Financial Professionals
Co-Author, McGraw Hill, 2007

グローバル・リスクシェアリング ― 強靭な⾦融システムの構築に向けて
(Global Risk Sharing: Toward A Stronger Financial System)

Co-Author, Journal of Economics, Society of Economics, University of Tokyo, 2007 [Published in Japanese]

Humpbacks in Credit Spreads
Co-Author, Journal of Investment Management, 2006


(An International Comparison of Corporate Bonds and Credit Default Swaps)

Co-Author, Security Analysis Journal, 2006 [Published in Japanese]

Reduced Form Vs. Structural Models of Credit Risk: A Case Study of Three Models
Co-Author, Journal of Investment Management, 2005

Power and Level Validation of The EDF Credit Measure in The U.S. Market
Co-Author, Moody’s KMV, 2005

Active Credit Portfolio Management: An Essential Tool of Better Management of Large, Complex Financial Institutions
Author, Included with Papers Published for The U.S.-Japan Symposium Sponsored By Harvard Law School’s Program on International Financial Systems, Gotemba, Japan, 2005

Parsimony in Practice: An EDF-Based Model of Credit Spreads
Co-Author, Moody’s KMV, 2004

Modeling Default Risk
Co-Author, Moody’s KMV, 2003

Systematic And Idiosyncratic Risk In Middle-Market Default Prediction: A Study Of The Performance Of The RiskCalcâ„¢ And PFMâ„¢ Models
Co-Author, Moody's KMV, 2003

Foreword and Two Chapters in Managing Bank Risk
Co-Author, Academic Press, 2002

Sharpening Credit-Portfolio Risk Analysis in Emerging
Co-Author, Paper Accepted for Presentation in Tokyo At The Asia FMA Conference, 2002

Modeling Portfolio Risk
Co-Author, Moody’s KMV, 2002

Bridging The Debt and Equity Markets Using an Option-Pricing Model of Corporate Default
Co-Author, Moody’s KMV, 2002

Portfolio Management of Default Risk
Co-Author, Moody’s KMV, 2001

A Survey of Contingent-Claims Approaches to Risky Debt Valuation
Author, Journal of Risk Finance, 2000

An Empirical Assessment of A Simple Contingent-Claims Model
Author, Journal of Risk Finance, 2000

Characterizing Credit Spreads
Author, University of California, Berkeley, Working Paper, 1999

Global Asset Allocation: A Review of The Literature
Author, 1996

KMVモデルにおける予想ディフォルト確率 ― Expected Default Frequency:EDFについて

(A Note About KMV's EDF Model)

Author, Security Analysts Journal (Japan), 1999 [Written in Japanese]

bottom of page