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A simplified method for calculating the credit risk of lending portfolios
Ieda, Akira; Marumo, Kouhei; Yoshiba, Toshinao - 2000
Persistent link: https://www.econbiz.de/10001479160
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Model risk and its control
Katō, Toshiyasu; Yoshiba, Toshinao - 2000
Persistent link: https://www.econbiz.de/10001486141
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Market price analysis and risk management for convertible bonds
Ohtake, Fuminobu; Oda, Nobuyuki; Yoshiba, Toshinao - 1998
Persistent link: https://www.econbiz.de/10000994639
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Comparative analyses of expected shortfall and VaR : their estimation error, decomposition, and optimization
Yamai, Yasuhiro; Yoshiba, Toshinao - 2001
Persistent link: https://www.econbiz.de/10001598298
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Comparative analyses of expected shortfall and value-at-risk (2) : expected utility maximization and tail risk
Yoshiba, Toshinao; Yamai, Yasuhiro - 2001
Persistent link: https://www.econbiz.de/10001607851
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On the validity of value-at-risk : comparative analyses with expected shortfall
Yamai, Yasuhiro; Yoshiba, Toshinao - 2001
Persistent link: https://www.econbiz.de/10001564769
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Comparative analyses of expected shortfall and value-at-risk (3) : their validity under market stress
Yamai, Yasuhiro; Yoshiba, Toshinao - 2002
Persistent link: https://www.econbiz.de/10001676681
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Analytical solution for expected loss of a collateralized loan : a square-root intensity process negatively correlated with collateral value
Yamashita, Satoshi; Yoshiba, Toshinao - 2010
Persistent link: https://www.econbiz.de/10003982620
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Analytical solution for the loss distribution of a collateralized loan under a quadratic Gaussian default intensity process
Yamashita, Satoshi; Yoshiba, Toshinao - 2011
Persistent link: https://www.econbiz.de/10009377393
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Analytical solutions for expected and unexpected losses with an additional loan
Yamashita, Satoshi; Yoshiba, Toshinao - 2007
Persistent link: https://www.econbiz.de/10003606900