Modeling of contagious downgrades and its application to multi-downgrade protection. - Hidetoshi Nakagawa (JSIAM Lett., 2010)

Analysis of credit event impact with self-exciting intensity model. - Suguru Yamanaka; Masaaki Sugihara; Hidetoshi Nakagawa (JSIAM Lett., 2011)

Analysis of downgrade risk in credit portfolios with self-exciting intensity model. - Suguru Yamanaka; Masaaki Sugihara; Hidetoshi Nakagawa (JSIAM Lett., 2011)

A random thinning model with a latent factor for improvement of top-down credit risk assessment. - Suguru Yamanaka; Hidetoshi Nakagawa; Masaaki Sugihara (JSIAM Lett., 2016)

Analysis of order book dynamics in the Japanese stock market using the Queue-Reactive Hawkes process. - Makoto Nohara; Hidetoshi Nakagawa (JSIAM Lett., 2021)