Kentaro Kikuchi

キクチケンタロウ | Kentaro Kikuchi

Affiliation and department：
Job title： Associate Professor

Research field (1)： Money and finance

Research keywords (4)：リスク分析) , 実証分析 , リスク分析 , Financial Engineering

Research theme for competitive and other funds (8)：

2020 - 2023 無裁定国際証券価格モデルに基づくグローバルファクターの抽出とリスク分析
2017 - 2020 Proposal of "environmental risk finance" in which local governments procure environmental measures funds directly from financial markets
2017 - 2020 マイナスイールドカーブ環境に適した金利期間構造モデルの構築と応用
2017 - 2019 金融業におけるデータサイエンスの応用
2014 - 2018 Pragmatic security invetment robust optmization model for financial institutions and institutional investors

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Papers (32)：

Yoshi Fujiwara, Hiroyasu Inoue, Takayuki Yamaguchi, Hideaki Aoyama, Takuma Tanaka, Kentaro Kikuchi. Money Flow Network Among Firms' Accounts in a Regional Bank of Japan. RIETI Discussion Paper Series 21-E-005. 2021
Bolorsuvd Batbold, Kentaro Kikuchi, Koji Kusuda. Approximate Analytical Solution for Robust Consumption-Investment Problem under Quadratic Security Market Model. Shiga University Discussion Paper E-6. 2021
Bolorsuvd Batbold, Kentaro Kikuchi, Koji Kusuda. Semi-Analytical Solution for Consumption and Investment Problem under Quadratic Security Market Model with Inflation Risk. 滋賀大学経済経営研究所 Discussion Paper E-5. 2020
山口崇幸, 辻和真, 中河嘉明, 田中琢真, 菊池健太郎. 新型コロナウイルス感染症拡大による企業間取引への業種別影響-銀行ビッグデータによるリアルタイム分析-. 滋賀大学経済経営研究所 Discussion Paper J-1. 2020
Kentaro Kikuchi. A Term Structure Interest Rate Model with the Exit Time from the Negative Interest Rate Policy. 滋賀大学経済学部リスク研究センターディスカッションペーパー B19. 2020

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Lectures and oral presentations (27)：

Estimating the duration of the quantitative easing policy using a term structure model with a stochastic lower bound
(Quantitative Methods in Finance 2019 2019)
A Term Structure Interest Rate Model with the Exit Time from the Quantitative Easing Policy
(International Conference on Computational Finance 2019 2019)
A Term Structure Interest Rate Model with the Exit Time from the Quantitative Easing Policy
(Stochastic Models and Control 2019 2019)
A Term Structure Interest Rate Model with the Exit Time from the Quantitative Easing Policy
(Quantitative Methods in Finance 2018 2018)
気候変動と琵琶湖全循環停止リスク
(第31回日本リスク研究学会年次大会 2018)

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Work history (2)：

Association Membership(s) (5)：

日本応用数理学会 , 日本保険学会 , 日本オペレーションズリサーチ学会 , 日本ファイナンス学会 , 日本金融・証券計量・工学学会

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