Research highlights, CEO Naomi Fink:
– Studies on heterogeneity in Japanese Total Factor Productivity (published with Columbia University Center on Japanese Economy and Business and presented at ACE 2016.
– Director, contributor and chief editor of a group study on bail-ins and contingent capital, including a quantitative model of price discovery in conversion to preference shares
– Impact analysis of Tohoku disaster on Japanse economy (2011, Jefferies), and follow-up analysis of new energy policies devised by the Japanese government.
– Innovation of “corporate hedge monitor” using proprietary data as an indicator for Japanese corporate forex hedging flows (2009, BTMU)
– Design of bespoke poll of Japanese corporates regarding impact of Japanese tax law change on repatriation, and analysis (“日本版HIA”, 2009, Bank of Tokyo Mitsubishi UFJ, published only for clients)
– Innovation and design of the first foreign exchange volatility index (2005, BNP Paribas, listed on Bloomberg)
– Presentation to “Currency Investment World” conference on The Market Price of Risk employing factor analysis using time-varying coefficients on a market portmanteau statistic (2007)
– Quantitative analysis of trading behaviour among Japanese retail investors (2007, BNP Paribas, as cited in Risk magazine)
– Construction of quantitative currency portfolio product, and marketing to Taiwanese Insurers (2004, BNP Paribas)
– Study of extremes in G20 currency valuation and volatility (2004, BNP Paribas)