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J-GLOBAL ID：202001013526135114   Update date: Jan. 21, 2025

Koike Takaaki

コイケ タカアキ | Koike Takaaki
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Affiliation and department：
Hitotsubashi University Graduate School of Economics

About Hitotsubashi University Graduate School of Economics


Job title： Assistant Professor
Homepage URL  (1)： https://sites.google.com/view/takaakikoike/home
Research field  (2)： Economic statistics ,  Applied mathematics and statistics
Research keywords  (10)： Copula ,  Systemic risk ,  Risk allocation ,  Risk aggregation ,  Risk measures ,  Markov chain Monte Carlo methods ,  Extreme value theory ,  Variance reduction methods ,  Dependence measures ,  Dependence
Research theme for competitive and other funds  (2)：
  • 2024 - 2028 Modeling and analysis of dependency structures under financial stress
  • 2021 - 2025 Capital allocation and dependence modeling in risk management
Papers (13)：
  • Takaaki Koike, Liyuan Lin, Ruodu Wang. Invariant correlation under marginal transforms. Journal of Multivariate Analysis. 2024. 204. 105361. 1-20
  • Takaaki Koike, Marius Hofert. Comparison of Correlation-based Measures of Concordance in terms of Asymptotic Variance. Journal of Multivariate Analysis. 2024. 201
  • Cathy W.S. Chen, Takaaki Koike, Wei-Hsuan Shau. Tail risk forecasting with semi-parametric regression models by incorporating overnight information. Journal of Forecasting. 2024. 43. 5. 1492-1512
  • Takaaki Koike, Liyuan Lin, Ruodu Wang. Joint Mixability and Notions of Negative Dependence. Mathematics of Operations Research. 2024
  • Takaaki Koike, Marius Hofert. Matrix compatibility and correlation mixture representation of generalized Gini's gamma. Canadian Journal of Statistics. 2023. 51. 4. 1111-1125
ｍore...
MISC (4)：
  • Takaaki Koike, Shogo Kato, Toshinao Yoshiba. Measuring and testing tail equivalence. arXiv:2407.14349. 2024
  • Takaaki Koike, Cathy W.S. Chen, Edward, M.H. Lin. Forecasting and Backtesting Gradient Allocations of Expected Shortfall. arXiv.2401.11701. 2024
  • Takaaki Koike. Discussion of tail dependence measures using tail copulas. The Institute of Statistical Mathematics Cooperative Research Report 454, Extreme Value Theory and Applications (19). 2022. 11-16
  • Takaaki Koike. Risk Analysis: Measures of concordance, their compatibility and capital allocation. UWSpace. 2020
Lectures and oral presentations  (33)：
  • Measuring non-exchangeable tail dependence using tail copulas
    (Meeting in ASTIN-related Study Group, the Institute of Actuaries of Japan 2024)
  • Forecasting and backtesting gradient allocations of expected shortfall
    (CFE-CMStatistics 2024)
  • Measuring and testing tail equivalence
    (Economic Statistics Workshop at Hitotsubashi University 2024)
  • Measuring and testing tail equivalence
    (Extreme Value Theory and Applications 2024)
  • Forecasting and backtesting gradient allocations of Expected Shortfall
    (Seminar at at the department of Statistics and Actuarial Science, the University of Hong Kong 2024)
ｍore...
Education (3)：
  • 2017 - 2020 University of Waterloo Faculty of Mathematics Department of Statistics and Actuarial Science
  • 2015 - 2017 Keio University Graduate School of Science and Technology Center for Mathematics
  • 2011 - 2015 Keio University Faculty of Science and Technology Department of Mathematics
Professional career (1)：
  • Doctor of Philosophy (University of Waterloo)
Work history (7)：
  • 2024/04 - 現在 The Institute of Statistical Mathematics Risk Analysis Research Center (RARC) Visiting Assistant Professor
  • 2023/02 - 現在 Keio University Faculty of Science and Technology Visiting Assistant Professor
  • 2022/04 - 現在 Hitotsubashi University Graduate School of Economics Assistant Professor
  • 2022/04 - 2024/03 The Institute of Statistical Mathematics Risk Analysis Research Center Visiting Research Fellow
  • 2020/12 - 2023/01 Keio University Faculty of Science and Technology Visiting assistant professor
Show all
Committee career (3)：
  • 2024 - 日本保険・年金リスク学会 (JARIP) 実務ジャーナル「リスクと保険」編集委員会 副委員長
  • 2023 - 日本アクチュアリー会 ERM委員会
  • 2023 - 日本アクチュアリー会 ASTIN関連研
Awards (7)：
  • 2020/07 - University of Waterloo Sprott Scholarship
  • 2018/11 - University of Waterloo Statistics and Actuarial Science Chair Award
  • 2018/03 - University of Waterloo Statistics and Actuarial Science Chair Award
  • 2018/02 - University of Waterloo Teaching Assistant Award
  • 2017/09 - University of Waterloo Statistics and Actuarial Science Doctoral Entrance Award
Show all
Association Membership(s) (5)：
Operations Research Society of Japan ,  Japanese Association of Financial Econometrics and Engineering ,  The Japanese Association of Risk, Insurance and Pensions ,  The Japan Statistical Society ,  The Institute of Actuaries of Japan
※ Researcher’s information displayed in J-GLOBAL is based on the information registered in researchmap. For details, see here.

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