PUBLICATIONS
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
社債とCDSに関する国際比較
(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]