Research Results

• Apr. 23, 2010Patents earned for a fast and highly accurate method of calculating credit risks of portfolios both in Japan and in the US
• Jul. 30, 2008An Extension of CreditGrades Model Approach with Levy Process
• Apr. 24, 2008A Novel Methodology for Credit Portfolio Analysis:
  Numerical Approximation Approach

Date:Apr. 23, 2010
Author:yasushi-takano/jiro-hashiba

We are pleased to announce that we have earned patents for a method and apparatus of quickly and accurately calculating credit risks of portfolios both in Japan and in the United States.
Please see the document here for more information about this invention. (US patent number 7627511.)

• (PDF/22KB)

Date:Jul. 30, 2008
Author:Takaaki Ozeki/Yuji Umezawa/Akira Yamazaki/Daisuke Yoshikawa

This paper proposes an extended CreditGrades model called the Levy CreditGrades model, which is driven by a Levy process. In this setting, quasi closed-form formulae for pricing equity options on a reference firm and for calculating its survival probabilities are derived.

Date:Apr. 24, 2008
Author:Yasushi Takano/Jiro Hashiba

This paper proposes a novel numerical methodology for quickly and accurately computing risk measures of a credit portfolio such as VaR(Value at Risk) and CVaR(Conditional Value at Risk), and risk contributions of obligors to these risk measures.

• (PDF/2.97MB)

For a brief review of the paper, refer to the following document.

• (PDF/0.27MB)