Masahiko Egami, Rusudan Kevkhishvili. An analysis of simultaneous company defaults using a shot noise process. JOURNAL OF BANKING & FINANCE. 2017. 80. 135-161
MISC (5件):
Masahiko Egami, Rusudan Kevkhishvili. Post-Last Exit Time Process and its Application to Loss-Given-Default Distribution. 2024
Masahiko Egami, Rusudan Kevkhishvili. A Forward-Looking Measure of Credit Risk. SSRN Electronic Journal. 2023
Masahiko Egami, Rusudan Kevkhishvili. On Decomposition of the Last Passage Time of Diffusions. 2022
ケヴヘイッシュウィリルースダン. 信用リスクの研究におけるノイズ. ACADEMIC GROOVE Vol.1 SIGNAL-Humanities and Social Sciences. 2019
Masahiko Egami, Rusudan Kevkhishvili. Analysis of CDS Spread Fluctuations with an Application to the Negative Basis Arbitrage. SSRN Electronic Journal. 2019
講演・口頭発表等 (19件):
A Forward-Looking Measure of Credit Risk
(第60回(2023年度冬季)JAFEE(日本金融・証券計量・工学学会)大会 2024)
A Forward-Looking Measure of Credit Risk
(日本ファイナンス学会第5回秋季研究大会 2023)
Last Passage Time and its Applications in Risk Management
(The 10th International Congress on Industrial and Applied Mathematics (ICIAM2023) 2023)
On Decomposition of the Last Passage Time of Diffusions
(SIAM Conference on Financial Mathematics and Engineering (FM23) 2023)