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- Graduate School of Economics
- KOIKE Takaaki
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Papers
| 1. | Invariant correlation under marginal transforms (Peer-reviewed) Takaaki Koike, Liyuan Lin, Ruodu Wang Journal of Multivariate Analysis Vol.204,No.105361,pp.1-20 2024.8 
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| 2. | Comparison of Correlation-based Measures of Concordance in terms of Asymptotic Variance (Peer-reviewed) Takaaki Koike, Marius Hofert Journal of Multivariate Analysis Vol.201 2024.5
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| 3. | Tail risk forecasting with semi-parametric regression models by incorporating overnight information (Peer-reviewed) Cathy W.S. Chen, Takaaki Koike, Wei-Hsuan Shau Journal of Forecasting Vol.43,No.5,pp.1492-1512 2024.2
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| 4. | Joint Mixability and Notions of Negative Dependence (Peer-reviewed) Takaaki Koike, Liyuan Lin, Ruodu Wang Mathematics of Operations Research 2024.1
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| 5. | Matrix compatibility and correlation mixture representation of generalized Gini's gamma (Peer-reviewed) Takaaki Koike, Marius Hofert Canadian Journal of Statistics Vol.51,No.4,pp.1111-1125 2023.12
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| 6. | On a Measure of Tail Asymmetry for the Bivariate Skew-Normal Copula (Peer-reviewed) Toshinao Yoshiba, Takaaki Koike, Shogo Kato Symmetry Vol.15,No.7,pp.1410 2023.7
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| 7. | Measuring non-exchangeable tail dependence using tail copulas (Peer-reviewed) Takaaki Koike, Shogo Kato, Marius Hofert ASTIN Bulletin - The Journal of the International Actuarial Association Vol.53,No.2,pp.466-487 2023.5
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| 8. | Avoiding zero probability events when computing Value at Risk contributions (Peer-reviewed) Koike, T., Saporito, Y., Targino, R. Insurance: Mathematics and Economics Vol.106,pp.173-192 2022.9
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| 9. | Modality for scenario analysis and maximum likelihood allocation (Peer-reviewed) Koike, T., Hofert, M. Insurance: Mathematics and Economics Vol.97,pp.24-43 2021.3
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| 10. | Markov chain monte carlo methods for estimating systemic risk allocations (Peer-reviewed) Koike, T., Hofert, M. Risks Vol.8,No.1,pp.6 2020.1
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| 11. | Estimation of risk contributions with MCMC (Peer-reviewed) Koike, T., Minami, M. Quantitative Finance Vol.19,No.9,pp.1579-1597 2019.9
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| 12. | Compatibility and attainability of matrices of correlation-based measures of concordance (Peer-reviewed) Hofert, M., Koike, T. ASTIN Bulletin - The Journal of the International Actuarial Association Vol.49,No.3,pp.885-918 2019.9
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| 13. | Calculation of Value-at-Risk Bounds using Rearrangement Algorithm (Peer-reviewed) Takaaki Koike, Mihoko Minami, Hiroshi Shiraishi Japanese Journal of the Japan Statistical Society Vol.45,No.2,pp.353-375 2016.4
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Misc.
| 1. | Measuring tail asymmetry of skew normal copula
Takaaki Koike The Institute of Statistical Mathematics Cooperative Research Report 478, Extreme Value Theory and Applications (22) pp.4-8 2025.3 |
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| 2. | Measuring and testing tail equivalence
Takaaki Koike, Shogo Kato, Toshinao Yoshiba arXiv:2407.14349 2024.7 |
| 3. | Forecasting and Backtesting Gradient Allocations of Expected Shortfall
Takaaki Koike, Cathy W.S. Chen, Edward, M.H. Lin arXiv.2401.11701 2024.1 |
| 4. | Discussion of tail dependence measures using tail copulas
Takaaki Koike The Institute of Statistical Mathematics Cooperative Research Report 454, Extreme Value Theory and Applications (19) pp.11-16 2022.3 |
| 5. | Risk Analysis: Measures of concordance, their compatibility and capital allocation
Takaaki Koike UWSpace 2020.8
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Presentations
| No. | Name of subject/Conference Name | Year | Site |
|---|---|---|---|
| 1. | Measuring non-exchangeable tail dependence using tail copulas(Meeting in ASTIN-related Study Group, the Institute of Actuaries of Japan) |
Holding date :
Presentation date : 2024.12.20 |
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| 2. | Forecasting and backtesting gradient allocations of expected shortfall(CFE-CMStatistics) |
Holding date :
2024.12.14
- 2024.12.16 Presentation date : 2024.12.16 |
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| 3. | Measuring and testing tail equivalence(Economic Statistics Workshop at Hitotsubashi University) |
Holding date :
Presentation date : 2024.11.29 |
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| 4. | Measuring and testing tail equivalence(Extreme Value Theory and Applications) |
Holding date :
2024.8.8
- 2024.8.9 Presentation date : 2024.8.8 |
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| 5. | Forecasting and backtesting gradient allocations of Expected Shortfall(Seminar at at the department of Statistics and Actuarial Science, the University of Hong Kong) |
Holding date :
Presentation date : 2024.5.22 |
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| 6. | Backtesting risk functionals(The Japanese Association of Risk, Insurance and Pensions (JARIP)) |
Holding date :
2023.11.27 Presentation date : 2023.11.27 |
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| 7. | Extremal negative dependence and its applications to financial risk management(Quantitative Finance Seminar at the department of Administration Engineering, faculty of Science and Technology, Keio University) |
Holding date :
Presentation date : 2023.11.2 |
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| 8. | Forecasting Gradient Allocations of Expected Shortfall(Economic Statistics Workshop at Hitotsubashi University) |
Holding date :
Presentation date : 2023.10.20 |
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| 9. | Forecasting Gradient Allocations of Expected Shortfall(Advances in Copula Theory) |
Holding date :
2023.9.14
- 2023.9.15 Presentation date : 2023.9.14 |
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| 10. | Measuring non-exchangeable tail dependence using tail copulas(10th International Congress on Industrial and Applied Mathematics (ICIAM 2023)) |
Holding date :
2023.8.20
- 2023.8.25 Presentation date : 2023.8.24 |
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| 11. | Measuring non-exchangeable tail dependence using tail copulas(ASTIN Webinar) |
Holding date :
Presentation date : 2023.8.15 |
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| 12. | Measuring non-exchangeable tail dependence using tail copulas(Economic Statistics Workshop at Hitotsubashi University) |
Holding date :
Presentation date : 2022.12.16 |
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| 13. | Measuring non-exchangeable tail dependence using tail copulas(Academic Speech at Department of Statistics, Feng Chia University) |
Holding date :
Presentation date : 2022.11.16 |
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| 14. | Joint mixability and negative orthant dependence(Academic Speech at Department of Statistics, Feng Chia University) |
Holding date :
Presentation date : 2022.11.16 |
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| 15. | Joint mixability and negative orthant dependence(Advances in Copula Theory) |
Holding date :
2022.9.17 Presentation date : 2022.9.16 |
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| 16. | Joint Mixability and Negative Orthant Dependence(57th JAFEE (The Japanese Association of Financial Econometrics and Engineering) Summer Meeting) |
Holding date :
2022.8.19
- 2022.8.20 Presentation date : 2022.8.19 |
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| 17. | Simulation of completely mixable distributions and its application to variance reduction(16th Japan Statistical Society Spring Meeting) |
Holding date :
2022.3.5 Presentation date : 2022.3.5 |
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| 18. | Tail concordance measures: A fair assessment of tail dependence(ISI-ISM-ISSAS Joint Conference 2022) |
Holding date :
2022.1.13
- 2022.1.15 Presentation date : 2022.1.13 |
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| 19. | Tail probability assessment based on copulas(Statistical Mathematics Seminar) |
Holding date :
Presentation date : 2022.1.12 |
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| 20. | Tail concordance measures: A fair assessment of tail dependence(Japanese Joint Statistical Meeting) |
Holding date :
2021.9.5
- 2021.9.9 Presentation date : 2021.9.8 |
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| 21. | Measuring asymmetric tail dependence using tail copulas(Extreme Value Theory and Applications) |
Holding date :
2021.8.16
- 2021.8.26 Presentation date : 2021.8.16 |
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| 22. | Tail concordance measures: A fair assessment of tail dependence(Wednesday seminar at Keio University) |
Holding date :
Presentation date : 2021.4.21 |
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| 23. | Tail concordance measures: A fair assessment of tail dependence(Weekly seminars on Risk Management and Actuarial Science at University of Waterloo) |
Holding date :
Presentation date : 2021.4.7 |
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| 24. | Beyond the tail dependence coefficients(The Joint Webinar by JARIP and IAJ) |
Holding date :
Presentation date : 2021.2.13 |
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| 25. | Estimation and Comparison of Correlation-based Measures of Concordance(Weekly seminars on Risk Management and Actuarial Science at University of Waterloo) |
Holding date :
Presentation date : 2020.7.16 |
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| 26. | Compatibility of matrices for correlation-based measures of concordance(CFE-CMStatistics) |
Holding date :
Presentation date : 2019.12 |
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| 27. | Compatibility and attainability of matrices for correlation-based measures of concordance(Japanese Joint Statistical Meeting) |
Holding date :
Presentation date : 2019.9 |
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| 28. | Compatibility of matrices for correlation-based measures of concordance(Wednesday seminar at Keio University) |
Holding date :
Presentation date : 2019.5 |
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| 29. | Compatibility of matrices for correlation-based measures of concordance(3rd SAS/WatRISQ Research Presentation Day) |
Holding date :
Presentation date : 2019.2 |
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| 30. | Computation of risk contributions with MCMC on VaR-fiber(Japanese Joint Statistical Meeting) |
Holding date :
Presentation date : 2016.9 |
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| 31. | Efficient computation of risk contributions by using MCMC(Keio Symposium on Risk Assessment) |
Holding date :
Presentation date : 2016.9 |
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| 32. | Efficient computation of risk contributions by using MCMC(Boston University/Keio University workshop) |
Holding date :
Presentation date : 2016.8 |
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| 33. | Rearrangement Algorithm in Financial Risk Assessment and its problems(Japan Statistical Meeting in Spring) |
Holding date :
Presentation date : 2016.3 |
Awards
| No. | Award name | Year |
|---|---|---|
| 1. | Sprott Scholarship | 2020.7 |
| 2. | Statistics and Actuarial Science Chair Award | 2018.11 |
| 3. | Statistics and Actuarial Science Chair Award | 2018.3 |
| 4. | Teaching Assistant Award | 2018.2 |
| 5. | Statistics and Actuarial Science Doctoral Entrance Award | 2017.9 |
| 6. | Outstanding Student Presentation Award | 2016.3 |
| 7. | Fujiwara Award | 2015.9 |
Research Projects
| No. | Research subject | Research item(Awarding organization, System name) | Year |
|---|---|---|---|
| 1. | Modeling and analysis of dependency structures under financial stress
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Grant-in-Aid for Scientific Research (B)
( Awarding organization: Japan Society for the Promotion of Science System name: Grants-in-Aid for Scientific Research ) |
2024.4 - 2028.3 |
| 2. | Capital allocation and dependence modeling in risk management
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Grant-in-Aid for Early-Career Scientists
( Awarding organization: Japan Society for the Promotion of Science System name: Grants-in-Aid for Scientific Research ) |
2021.4 - 2025.3 |
