Wrong-way risk modeling by fractional fast Fourier transform and a copula for the cumulative default intensities with shifted square root jump diffusion: Application to credit valuation adjustment of credit default swap
Tetsuya Adachi, Takumi Sueshige, and Toshinao Yoshiba
Journal of the Japan Statistical Society (Japanese version) 45(2) 329-352 Mar 2016 [Refereed][Invited]
Risk Aggregation with Copula for Banking Industry
Toshinao Yoshiba
Applications+Practical Conceptualization+Mathematics=Fruitful Innovation: Proceedings of the Forum of Mathematics for Industry 2014 247-259 Sep 2015 [Refereed][Invited]
Analytical Solutions for Expected Loss and Standard Deviation of Loss with an Additional Loan
Satoshi Yamashita, and Toshinao Yoshiba
Asia-Pacific Financial Markets 22(2) 113-132 May 2015 [Refereed][Invited]
Survey of Applications of Copulas in Financial Risk Management
Toshinao Yoshiba
Securities Analysts Journal 52(3) 33-41 Mar 2014 [Invited]
A collateralized loan’s loss under a quadratic Gaussian default intensity process
Satoshi Yamashita, and Toshinao Yoshiba
Quantitative Finance 13(12) 1935-1946 Dec 2013 [Refereed]
Analytical solution for the expected loss of a collateralized loan: a square-root intensity process negatively correlated with collateral value
Satoshi Yamashita and Toshinao Yoshiba
Journal of Credit Risk 9(2) 27-44 Sep 2013 [Refereed]
Analytical Solution for m-th Moment of a Collateralized Loan’s Loss under a Quadratic Gaussian Default Intensity Process
Satoshi Yamashita and Toshinao Yoshiba
Proceedings of the Institute of Statistical Mathematics 59(1) 141-157 Jun 2011 [Refereed]
Effect and Quantification of Tail and Dependence between Random Variables for Financial Risks
Toshinao Yoshiba
Statistical Science, School of Multidisciplinary Sciences Department of Statistical Science, The Graduate University School for Advanced Studies Mar 2011 [Refereed]
Correlation Structures between Assets’ Returns in Financial Crisis: Evaluation using Copulas
Kohei Shintani, Tetsuya Yamada, and Toshinao Yoshiba
Kin'yu-kenkyu 20(3) 89-122 Jul 2010 [Refereed]
Credit Risk Valuation with an Additional Loan: Analytical Solutions for EL and UL Using Structural Model
Satoshi Yamashita and Toshinao Yoshiba
Kin'yu-kenkyu 26(別冊2) 103-136 Nov 2007 [Refereed]
Commentary on Concrete Applications of Copula in Financial Practices
Joint research meeting "Application of extreme value theory to engineering" 19 Jul 2019
Value-at-Risk and Expected Shortfall of Stock Portfolio Using Skew-t Copulas
Toshinao Yoshiba
SIAM Conference on Financial Mathematics & Engineering 2019 7 Jun 2019
Value-at-risk and expected shortfall of stock portfolio using skew-t copulas[Invited]
Toshinao Yoshiba
11th International Conference of the ERCIM (European Research Consortium for Informatics and Mathematics) Working Group on Computational and Methodological Statistics (CMStatistics 2018) 15 Dec 2018
Risk management using skew-t copula[Invited]
Toshinao Yoshiba
Center for Mathematical Modeling and Data Science, Osaka University, Nakanoshima Workshop 2018 “Problems of Financial Engineering and Mathematical and Quantitative Finance” 30 Nov 2018
Risk management using skew-t copula[Invited]
Toshinao Yoshiba
34th Marunouchi QF (Quantitative Finance) Seminar, Tokyo Metropolitan University 7 Nov 2018
Wrong-way risk in credit valuation adjustment of credit default swap with copulas
Toshinao Yoshiba
JAFEE (Japanese Association of Financial Econometrics and Engineering) 49th 2018 Summer Conference 24 Aug 2018
Wrong-way risk in credit valuation adjustment of credit default swap with copulas: Application of shifted square root jump diffusion for default intensities
Toshinao Yoshiba
10th World Congress of the Bachelier Finance Society 18 Jul 2018
Wrong-way risk in credit valuation adjustment of credit default swap with copulas: Application of shifted square root jump diffusion for default intensities
Toshinao Yoshiba
Nippon Finance Association 26th Annual Conference 24 Jun 2018
Credit valuation adjustment of credit default swap: Application of stochastic default intensity and copula[Invited]
Toshinao Yoshiba
5th Financial Symposium of ISM Risk Analysis Research Center, "Modelling and Control of Financial Risk IV" 15 Dec 2017
Wrong-way risk modeling by fractional fast Fourier transform and a copula for the cumulative default intensities with shifted square root jump diffusion: Application to credit valuation adjustment of credit default swap
Toshinao Yoshiba
FMA 2017: RIMS Workshop on Financial Modeling and Analysis 14 Nov 2017
Mathematical Engineering and Information Physics versus Financial Risk Management[Invited]
Toshinao Yoshiba
Special Lecture on Mathematical Engineering and Information Physics, Faculty of Engineering, University of Tokyo 2 May 2017
The Intraday Market Liquidity of Japanese Government Bond Futures
Toshinao Yoshiba
The Fourth Edition of Paris Financial Management Conference (PFMC 2016) 13 Dec 2016
Distribution function for cumulative intensity of SSRJD and its applications to CVA of CDS
Toshinao Yoshiba
10th International Conference on Computational and Financial Econometrics (CFE 2016) 11 Dec 2016
Distribution function for cumulative intensity of SSRJD and its applications to CVA of CDS
Toshinao Yoshiba
FMA 2016: RIMS Workshop on Financial Modeling and Analysis 29 Nov 2016
The Intraday Market Liquidity of Japanese Government Bond Futures[Invited]
Toshinao Yoshiba
International Workshop on Spatial and Temporal Modeling from Statistical, Machine Learning and Engineering perspectives (STM 2016) 23 Jul 2016
The Intraday Market Liquidity of Japanese Government Bond Futures
Toshinao Yoshiba
9th World Congress of the Bachelier Finance Society 18 Jul 2016
Maximum likelihood estimation of skew-t copulas and its application to asset returns
Toshinao Yoshiba
JAFEE (Japanese Association of Financial Econometrics and Engineering) 44th 2015 Winter Conference 25 Jan 2016
ALM in Banking and Risk Management[Invited]
Toshinao Yoshiba
13th Lecture on "Topics on Financial Engineering II," Tokyo Institute of Technology Graduate School of Innovation Management 13 Jan 2016
Empirical comparison of several skew-t copulas[Invited]
Toshinao Yoshiba
9th International Conference on Computational and Financial Econometrics (CFE 2015) 12 Dec 2015
Maximum likelihood estimation of skew-t copulas and its application to financial econometrics[Invited]
Toshinao Yoshiba
Econometrics Workshop, Institute for Economic Studies, Keio University 17 Nov 2015
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