Research

Publications

"Rehypothecation Dilemma: Impact of Collateral Rehypothecation on Derivative Prices Under Bilateral Counterparty Credit Risk," with Yoshihiko Uchida, 2014, Journal of Banking and Finance. [link] [slides]


“When and how US dollar shortages evolved into a full crisis: Evidence from the cross-currency swap market,” with Naohiko Baba, 2011, Journal of Banking and Finance. [link] [slides]


“Predicting regime switches in the VIX index with macroeconomic variables,” with Naohiko Baba, 2011, Applied Economics Letters. [link]


Working Papers

“The use of the Black model of interest rates as options for monitoring the JGB market expectations,” with Youichi Ueno and Naohiko Baba, 2006, Bank of Japan Working paper. [link]

Implications of CVA for financial stability in over-the-counter derivatives markets: A simulation analysis,” 2014, Working paper. [submitted] [link] [slides]

"Extended Shadow Interest Rate Models,” 2014, Working paper. [coming soon] 

Work in Progress

"Variance risk premia and the ending time of zero interest rate policy implied from the government bond markets" 

"How are arbitrage opportunities wiped out?: Evidence from the US Treasury bond markets during the financial crisis of 2008-2009"
 

Book Chapter

“Foreign exchange forwards, futures and swaps,” in Handbook of Exchange Rates, Edited by Jessica James, Ian Marsh, and Lucio Sarno, John Wiley and Sons, 2012. Coauthor: Naohiko Baba and Franck Packer. [link]


Presentations

The 27th Australasian Finance and Banking Conference in Sydney, December 2014  – I will present the paper on extended shadow interest rate models, listed under ‘Working papers’ above.

The 89th WEAI Conference: International Banking, Economics and Finance Association in Colorado, June 2014 – Presented the paper on the implications of CVA for financial stability, listed under ‘Working paper’ above.

The 6th IFABS Conference on Alternative Futures for Global Banking in Lisbon, June 2014  – Presented the paper on the implications of CVA for financial stability, listed under ‘Working paper’ above.

The 25th Australasian Finance and Banking Conference in Sydney, December 2012  – Presented the paper on collateral rehypothecation, listed under ‘Publications’ above.

UCLA Anderson School of Management, Brown Bag Talk (Finance), October 2012  Presented my 1st-year summer research paper on the application of shadow interest rate models to US government bond markets.

Nakanojima Workshop on Financial Engineering at Osaka University, December 2010 
Presented a survey paper on the counterparty credit risk modeling: CVA and wrong-way risk of currency swaps.

The 22nd Australasian Finance and Banking Conference in Sydney, December 2009 – Presented the paper on currency swap market, listed under ‘Publications’ above.

Nakanojima Workshop on Financial Engineering at Osaka University, December 2008 – Presented a short research paper on the application of SABR model to pricing variance options embedded in variance swap.