Senior Lecturer (Tenure-track)
Graduate School of Economics, Kyoto University
Yoshida-Honmachi, Sakyo-Ku, Kyoto, 606-8501 Japan
researchmap ORCiD Scopus Google Scholar Graduate School of Economics Faculty
Financial Engineering: Credit Risk Modeling, Derivative Pricing
Applied Probability: Markov Processes, Diffusion Processes
Apr, 2016 - Mar, 2019 Doctor of Economics, Kyoto University (Graduate School of Economics)
Apr, 2014 - Mar, 2016 Master of Economics, Kyoto University (Graduate School of Economics)
Apr, 2010 - Mar, 2014 Bachelor of Economics, Kyoto University (Faculty of Economics, Department of Economics and Management)
Apr, 2022 - Present Graduate School of Economics, Kyoto University, Tenure-track Senior Lecturer.
Apr, 2019 - Mar, 2022 Graduate School of Economics, Kyoto University, Senior Lecturer.
Financial Engineering 1: Spring Semester 2019-2022 (Graduate School of Economics, Kyoto University)
Financial Engineering I: Spring Semester 2019-2022 (Graduate School of Management, Kyoto University)
Group Work: Fall Semester 2019-2022 (Graduate School of Economics, Kyoto University)
Corporate Finance: Spring Semester 2019-2022 (Faculty of Economics, Kyoto University)
Readings in Humanities and Social Sciences (Economics, English) A-E1 : Spring Semester 2022 (Liberal Arts and Sciences Course, Kyoto University)
Introductory Seminar: Spring Semester 2020-2021 (Faculty of Economics, Kyoto University)
Readings in Humanities and Social Sciences (Economics, English) B-E1 : Fall Semester 2019 (Liberal Arts and Sciences Course, Kyoto University)
Refereed Journal Publications
A New Approach to Detecting Change in Credit Quality
Journal of Risk 24 (5), 51-73, 2022. [PDF]
Time Reversal and Last Passage Time of Diffusions with Applications to Credit Risk Management (with M. Egami)
Finance and Stochastics 24 (3), 795-825, 2020. [PDF]
A Direct Solution Method for Pricing Options in Regime-Switching Models (with M. Egami)
Mathematical Finance 30(2), 547-576, 2020. [PDF]
An Analysis of Simultaneous Company Defaults Using a Shot Noise Process (with M. Egami)
Journal of Banking and Finance 80, 135-161, 2017. [PDF]
A New Approach to Estimating Loss-Given-Default Distribution (2022) (with M. Egami) [Arxiv] Submitted
On Decomposition of the Last Passage Time of Diffusions (2022) (with M. Egami) [Arxiv] Submitted
Analysis of CDS Spread Fluctuations with an Application to the Negative Basis Arbitrage (2019) (with M. Egami) [SSRN]
Conference Presentations and Invited Talks (indicated with *)
The 2023 Spring National Conference of Operations Research Society of Japan, Chuo University, March 8, 2023.
Japanese Association of Financial Econometrics and Engineering (JAFEE) 58th Conference (2022 Winter Meeting), Tohoku University, February 19, 2023.
Nippon Finance Association The 30th Anniversary Annual Conference, Aoyama Gakuin University, June 5, 2022.
SIAM Conference on Financial Mathematics and Engineering (FM21), Virtual, June 2, 2021.
Nippon Finance Association 2nd Fall Conference, Virtual, December 5, 2020.
Nippon Finance Association 28th Annual Conference, Virtual, June 13, 2020.
*Nakanoshima Workshop: Problems in Financial Engineering and Mathematical/ Quantitative Finance 2019, Center for Mathematical Modeling and Data Science, Osaka University, November 29, 2019.
*TMU Workshop on Finance, Tokyo Metropolitan University, September 25, 2019.
Workshop on Recent Developments in Econometric Theory and Its Applications 2019, Institute of Economic Research, Kyoto University, March 5, 2019.
The 30th Asian Finance Association Annual Meeting, Tokyo, June 26, 2018.
The 40th Conference on Stochastic Processes and their Applications-SPA 2018, Gothenburg, Sweden, June 12, 2018.
TMU Workshop on Finance 2017, Tokyo Metropolitan University, August 29, 2017.
*Mathematical Finance Seminar, Department of Mathematical Sciences, Ritsumeikan University, August 24, 2017.
*The 22nd Economic Workshop of Young Researchers, Kobe University, July 5, 2017.
International Conference on Financial Risks and Uncertainties 2017, Ishigaki, Okinawa, June 17, 2017.
Lunchtime Workshop BBL, Graduate School of Economics, Kyoto University, June 7, 2017.
Nippon Finance Association 25th Annual Conference, Chiba Institute of Technology, June 3, 2017.
Lunchtime Workshop BBL, Graduate School of Economics, Kyoto University, April 21, 2016.
P.I., Grant-in-Aid for Early-Career Scientists No. 21K13324 , Japan Society for the Promotion of Science, 2021-2023. [LINK]
P.I., Grant-in-Aid for JSPS Fellows No. 17J06948, Japan Society for the Promotion of Science, 2017-2018. [LINK]
Research Fellowship of Japan Society for the Promotion of Science (JSPS) for Young Scientists (DC2), 2017-2018.