Satoshi YAMASHITA

J-GLOBAL         Last updated: Mar 15, 2017 at 02:55
 
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Name
Satoshi YAMASHITA
Affiliation
The Institute of Statistical Mathematics
Job title
Professor, Director
Degree
Ph.D(Kyoto University)

Research Areas

 
 

Academic & Professional Experience

 
Apr 2013
   
 
Present: Director, Risk analysis center, The Institute of Statistical Mathematics.
 
Apr 2011
   
 
Professor, The Institute of Statistical Mathematics
 
Apr 2005
   
 
Associate Professor, The Institute of Statistical Mathematics.
 
Apr 2001
   
 
Special research fellow, Financial Services Agency
 
Mar 1998
   
 
Visiting Associate Professor, Massachusetts Institute of Technology
 
Feb 1994
   
 
Assistant Professor., The Institute of Statistical Mathematics.
 
Apr 1992
   
 
Assistant Professor, Faculty of Engineering, Kumamoto University
 
Apr 1989
   
 
Yasuda Trust & Banking Co., Ltd
 

Education

 
 
 - 
1997
Ph.D., Kyoto University
 
1987
 - 
1989
Graduate School of Engeering, Kyoto University
 
1983
 - 
1987
Faculty of Engineering, Kyoto University
 

Awards & Honors

 
Mar 2012
JAFEE PRIZE
 

Published Papers

 
Forecasting loss given default of bank loans with multi-stage model(共著)
Satoshi YAMASHITA
International Journal of Forecasting   33 513-522   2017   [Refereed]
Historical Fact-finding Study on Transportation and Spatial Abblomeration in Japan
Satoshi YAMASHITA
Memoirs of the Faculty of Engineering Kumamoto University   38(21) 25-37   1993
Airport Access Behavior of Travelers under Risk of Delay
Satoshi YAMASHITA
Journal of the Eastern Asia Society for Transportation Studies   2(1) 193-205   1997   [Refereed]
Vector ARMA Time Series Model for Short Term Prediction of Traffic Demand
Satoshi YAMASHITA
Journal of the Eastern Asia Society for Transportation Studies,   2(4) 1247-1262   1997   [Refereed]
The Relationship between Subjective Travel Time and Traveler's Experience
Satoshi YAMASHITA
Journal of the Eastern Asia Society for Transportation Studies   3(5) 181-197   1999   [Refereed]
デフォルト境界が不確実な場合の損失率:優先劣後構造を持つ債権への応用
Tsuruga, Tomohiro Bank of Japan, Yamashita Satoshi ISM
26巻(別冊第2号) 79-103   Jul 2007   [Refereed]
追加融資を考慮した信用リスク:構造モデルによるELとULの解析解
Yamashita, Satoshi ISM, Yoshiba, Toshinao Bank of Japan
26巻(別冊第2号) 103-136   Jul 2007   [Refereed]
Analytical solutions for expected and unexpected losses with an additional loan
Yamashita, Satoshi ISM, Yoshiba, Toshinao Bank of Japan
IMES Discussion paper series   2007-E-21 1-25   Dec 2007   [Refereed]
Empirical Study of Recovery Rates of the Loans
Ito, Yuki Hitotsubasi Univ., Yamashita, Satoshi Institute of Statistical Mathematics
FSA Research Review   2007 1-30   Apr 2008   [Refereed]
Simultaneous term structure estimation of hazard and loss given default with a statistical model using credit rating and financial information
Ando, Tomohiro Keio University, Yamashita, Satoshi
World Academy of Science, Engineering and Technology   53 113-133   Jun 2009   [Refereed]
Expected loss with a negative correlation between hazard and recovery based on CIR hazerd process
Yamashita, Satoshi The Institute of Statistical Mathematics, Yoshiba, Toshinao Bank of Japan
IMES Discussion Paper   2010-J-10    Mar 2010   [Refereed]
AUCを用いた格付予測評価指標と重み付き最適化
Miura, Kakeru The Graduate University for Advanced Studies, Yamashita, Satoshi The Institute of Statistical Mathematics, Eguchi, Shinto he Institute of Statistical Mathematics
JAFEE Journal   Vol.9 55-82   Mar 2010   [Refereed]
Statistical Model of Recovery Rate and Expected Ross for Internal Rating-Based Approach
Miura, Kakeru The Graduate University for Advanced Studies, Yamashita, Satoshi The Institute of Statistical Mathematics, Eguchi, Shinto he Institute of Statistical Mathematics
FSA Resarech Review   2009 174-205   Mar 2010   [Refereed]
Analytical Solution for Expected Loss of a Collateralized Loan: A square-root intensity process negatively coorrelated with the collateral value
Yamashita, Satoshi , Yoshiba, Toshinao
IMES Discussion Paper Series   2009-E-3    Jun 2010   [Refereed]
Area under the curve maximization method in credit scoring
Miura, Kakeru The Graduate University for Advanced Studies, Yamashita, Satoshi The Institute of Satistical Mathematics, Eguchi , Shinto The Institute of Satistical Mathematics
The Journal of Risk Model Validation   vol.4(No.2 Summer 2010) 3-24   Jun 2010   [Refereed]
与信判断が確率変動するときの倒産企業の信用リスク値分布のモデル化 - Skew-normal分布の応用
大野 忠士 総合研究大学院大学, 山下 智志 統計数理研究所, 椿 広計 統計数理研究所
統計数理   59-1 3-23   Jun 2011   [Refereed]
2次ガウス過程を用いた担保付貸出の解析的な損失分布のモーメント評価
山下 智志 統計数理研究所, 吉羽 要直 日本銀行
統計数理   59-1 141-157   Jun 2011   [Refereed]
Analytical Solution for the Loss Distribution of a Collateralized Loan under a Quadratic Gaussian Default Intensity Process
Yamashita, Satoshi Institute of Statistical Mathematics, Yoshiba, Toshinao Bank of Japan
BOJ Discussion Paper Series 2011-E-20   2001-E-20 1-24   Aug 2011
The Empirical Factor Analysis of Loss Given Default and Expected Loss by Linearized Multistage Model
Kawata, Akihiro The Institute of Statistical Mathematics, Yamashita, Satoshi The Institute of Statistical Mathematics
FSA Research Review   7    Mar 2013   [Refereed]
A collateralized loan’s loss under a quadratic Gaussian default intensity process
Yamashita, Satoshi Institute of Statistical Mathematics, Yoshiba, Yoshinao Bank of Japan
Quantitative Finance   ** **   Mar 2013   [Refereed]
Yamashita, Satoshi The Institute of Statistical Mathematics, Yoshiba, Toshinao Bank of Japan
Quantitative Finance      Jun 2013   [Refereed]
Analytical solution for the expected loss of a collateralized loan: A square-root intensity process negatively correlated with collateral value
Yamashita, Satoshi The Institute of Statistical Mathematics, Yoshiba, Toshinao Bank of Japan
Journal of credit risk   Vol.9(No.2) 135-156   Jun 2013   [Refereed]
Analytical Solutions for Expected Loss and Standard Deviation of Loss with an Additional Loan,
Yamashita, Satoshi 統計数理研究所, Yoshiba, Toshinao 日本銀行
Asia-Pacific Financial Markets   無    Dec 2014   [Refereed]
Forecastinglossgivendefaultofbankloanswithmulti-stage model
Tanoue, Yuta 総合研究大学院大学, Kawata, Akihiro PWC, Yamashita, Satoshi The Institute of Statistical Mathematics
InternationalJournalofForecasting   33 513-522   Mar 2017   [Refereed]

Misc

 
Analytical solutions for variance of loss with an additional loan
Yamashita, Satoshi The Institute of Statistical Mathematics, Yoshiba, Toshinao Bank of Japan
ISM Research Memorandum   1171    May 2013
Analytical loss valuation of collateral loan by quadratic Gaussian process
Yamashita, Satoshi The Institute of Statistical Mathematics, Yoshiba, Toshinao Bank of Japan
IMES Discussion Paper Series   2010-J-29 1-16   Oct 2010   [Refereed]
Expected loss with a negative correlation between hazard and recovery: Analytical evaluation with a square-root hazard process
Yamashita, Satoshi , Yoshiba, Toshinao
ISM Rsearch Memorandum   1092    Apr 2009
Analytical solutions for variance of loss with an additional loan
Yamashita, Satoshi The Institute of Statistical Mathematics, Yoshiba, Toshinao Bank of Japan
Research Memorandum The Institute of Statistical Mathematics   1171    Feb 2013

Books etc

 
Model Varidation for Credit Risk
Yamashita, Satoshi The Institute of Statistical Mathematics (Part:Joint Work)
Sep 2011   

Conference Activities & Talks

 
A new approach of micro-data analysis through international cooperation [Invited]
Satoshi YAMASHITA
The 8th International Workshop on Analysis of Micro Data of Official Statistics   1 Dec 2016   
Default distribution model truncated by stochastic credit standard:Application of skew-normal distribution
23rd Asian-Pacific Conference on International Accounting Issues   16 Oct 2011   
Public information sharing for research and education : Data for Economics
28 Feb 2011   
Stochastic Truncation Model of Default Distribution
Asian Pacific Conference on International Accounting Issues   7 Nov 2010   
AUC maximization in credit scoring
Miura, Kakeru Graduate Universty of Advanced Studies, Satoshi, Yamashita The Institute of Statistical Mathematics, Eguchi , Shinto The Institute of Statistical Mathematics
Institute of Mathematical statistics Asia Pacific Rim Meeting   28 Jun 2009