Using term structure data of Credit Default Swap (CDS) spreads for the four Japanese mega-banks and the government, we jointly estimate the default intensity and expected recovery (loss) given a default. In doing so, we attempt to further identify the difference in the expected recovery ratios...

This paper investigates the relative role of price discovery between two long-term swap contracts that exchange between the U.S. dollar and the Japanese yen: cross-currency basis swap and FX (foreign exchange) swap. First, we show that these two swaps should be in a no-arbitrage relationship by...

This paper aims to reconsider the mechanism of the negative yen funding costs for foreign banks in the foreign exchange (FX) swap market, almost constantly observed since the adoption of the quantitative monetary easing policy in March 2001. Our main findings are as follows. First, if the...

This paper provides both theoretical and empirical analyses of market participants' optimal decision-making in trading Japanese equity mutual funds. First, we build an intertemporal decision-making model under uncertainty in the presence of transaction costs. This setting enables us to shed...

This paper investigates the dynamics of capital structure of Japanese firms since the early 1990s to shed light on how far the reduction of excess leverage has progressed so far in Japan. Our main findings are as follows. First, the trade-off theory provides an appropriate framework to assess...

This paper aims to analyze risk premium of corporate bonds considering skewness as an additional risk factor under a portfolio selection framework. With skewness, risk premium can be expressed as a weighted average of beta-risk under the orthodox beta-CAPM and gamma-risk arising from skewness....

This paper applies a survival analysis to individual hedge fund data reported in the Lipper TASS database. We use several methodologies including the non-parametric survival analysis, the Semi-parametric Cox proportional hazard analysis with shared frailty, and the logit analysis to assess the...

[...]To explore these questions, we present the firstsystematic analysis of the determinants and impact of thesovereign credit ratings assigned by the two leading U.S.agencies, Moody’s Investors Service and Standard andPoor’s.1 Such an analysis has only recently become possibleas a result of...