Meiji University · School of Interdisciplinary Mathematical Sciences

Research keywordssystemic risk・TARCH-DCC・expected shortfall・VaR bias・residual income model・expected ROE・Heath-Jarrow-Morton models・Markovian framework・risk measures

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• 個人情報漏洩の損害額の新しい数理モデルの提案2019 · 情報処理学会論文誌 60 ( 9 ) 1528 - 1537 2019年9月
• A Markovian framework in multi-factor Heath-Jarrow-Morton models1998 · JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS 33 ( 3 ) 423 - 440 1998年9月

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