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Yoshiba, Toshinao

Overview
Works: 36 works in 101 publications in 2 languages and 305 library holdings
Roles: Author
Classifications: HG201, 338.5
Publication Timeline
Key
Publications about Toshinao Yoshiba
Publications by Toshinao Yoshiba
Most widely held works by Toshinao Yoshiba
Market price analysis and risk management for convertible bonds by Fuminobu Ohtake( Book )
5 editions published in 1998 in English and held by 31 libraries worldwide
A simplified method for calculating the credit risk of lending portfolios by Akira Ieda( Book )
6 editions published in 2000 in English and held by 30 libraries worldwide
On the validity of value-at-risk : comparative analysis with expected shortfall by Yasuhiro Yamai( Book )
6 editions published in 2001 in English and held by 28 libraries worldwide
Model risk and its control by Toshiyasu Kato( Book )
6 editions published in 2000 in English and held by 27 libraries worldwide
Comparative analyses of expected shortfall and value-at-risk (2) : expected utility maximization and tail risk by Toshinao Yoshiba( Book )
6 editions published in 2001 in English and held by 27 libraries worldwide
Comparative analyses of expected shortfall and VaR : their estimation error, decomposition, and optimization by Yasuhiro Yamai( Book )
7 editions published between 2001 and 2002 in English and held by 27 libraries worldwide
Comparative analyses of expected shortfall and value-at-risk (3) : their validity under market stress by Yasuhiro Yamai( Book )
6 editions published in 2002 in English and held by 27 libraries worldwide
Analytical solution for expected loss of a collateralized loan : a square-root intensity process negatively correlated with collateral value by Satoshi Yamashita( Book )
5 editions published in 2010 in English and held by 16 libraries worldwide
Stochastic recovery; Default intensity model; Affine diffusion; Extended affine; Survival probability; Measure change
Analytical solutions for expected and unexpected losses with an additional loan by Satoshi Yamashita( Book )
3 editions published in 2007 in English and held by 16 libraries worldwide
Analytical solution for the loss distribution of a collateralized loan under a quadratic Gaussian default intensity process by Satoshi Yamashita( Book )
3 editions published in 2011 in English and held by 12 libraries worldwide
"In this study, we derive an analytical solution for expected loss and the higher moment of the discounted loss distribution for a collateralized loan. To ensure nonnegative values for intensity and interest rate, we assume a quadratic Gaussian process for default intensity and discount interest rate. Correlations among default intensity, discount interest rate, and collateral value are represented by correlations among Brownian motions driving the movement of the Gaussian state variables. Given these assumptions, the expected loss or the m-th moment of the loss distribution is obtained by a time integral of an exponential quadratic form of the state variables. The coefficients of the form are derived by solving ordinary differential equations. In particular, with no correlation between default intensity and discount interest rate, the coefficients have explicit closed form solutions. We show numerical examples to analyze the effects of the correlation between default intensity and collateral value on expected loss and the standard deviation of the loss distribution."--1st prelim. page
BGM kinri moderu no jitsuyōka ni mukete by Yuji Morimoto( Book )
4 editions published in 1999 in Japanese and held by 3 libraries worldwide
Moderu risuku ni tsuite by Toshiyasu Kato( Book )
3 editions published in 2000 in Japanese and held by 3 libraries worldwide
Tenkan shasai no shijō kakaku bunseki to risuku kanri by Fuminobu Ōtake( Book )
3 editions published in 1998 in Japanese and held by 3 libraries worldwide
Deribatibu shōhin kakaku kara dōshutsu kanōna shijō jōhō o riyōshita māketto bunseki hōhō by Nobuyuki Oda( Book )
2 editions published in 1997 in Japanese and held by 3 libraries worldwide
Kinri hasei shōhin moderu no jitsumuteki katsuyō ni tsuite by Toshiyasu Kato( Book )
3 editions published in 1999 in Japanese and held by 3 libraries worldwide
Īrudokābu moderu no paramēta suitei shuhō ( Book )
2 editions published in 2001 in Japanese and held by 2 libraries worldwide
Shasai ryūtsū kakaku ni inpuraisareteiru kitai deforuto kakuritsu no shin'yō risuku puraishingu moderu ni yoru suitei ( Book )
3 editions published in 1999 in Japanese and held by 2 libraries worldwide
Rongusutaffu to shuwarutsu no moderu o mochiite by Akira Ieda( Book )
1 edition published in 1999 in Japanese and held by 2 libraries worldwide
 
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Alternative Names
吉羽要直
Languages
English (53)
Japanese (26)
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