Rchr
J-GLOBAL ID：201501022058524190   Update date: Jan. 30, 2024

Muromachi Yukio

ムロマチ ユキオ | Muromachi Yukio
Affiliation and department：
東京都立大学 大学院・経営学研究科

About 東京都立大学 大学院・経営学研究科


Homepage URL  (1)： https://kaken.nii.ac.jp/d/r/70514719.ja.html
Research field  (3)： Money and finance ,  Safety engineering ,  Social systems engineering
Research keywords  (9)： Modeling Liabilities in Banks and Insurance Companies ,  Pricing Derivatives and Securitizations ,  Evaluation of Market Risk ,  Evaluation of Credit Risk ,  ファイナンス ,  金融工学 ,  Financial Risk Management ,  保険 ,  数理ファイナンス
Research theme for competitive and other funds  (7)：
  • 2022 - 2025 Property analyses and risk evaluation of asset and liability portfolios taking into account economic regime-change and debtors' prpoerties
  • 2016 - 2020 マルチカーブ環境における金利デリバティブの価格付け理論の再構築とその応用
  • 2014 - 2019 Research on the financial risk management by taking account of remarkable properties of assets and liabilities in financial institutions and long-term behaviors of financial environment in Japan
  • 2012 - 2015 金融リスク計測における統計学的モデルとストレステストの融合に関する研究
  • 2009 - 2014 Research on the financial risk management of a portfolio including alternative investments
Show all
Papers (14)：
  • Yukio Muromachi. EVALUATION OF INTEREST RATE RISK OF A PORTFOLIO BY A STOCHASTIC INTEREST RATE MODEL WITH A RESIME SWITCHING PROPERTY AND ITS APPLICATION TO NON-MATURITY DEPOSITS. Transactions of the Operations Research Society of Japan. 2021. 64. 46-70
  • 室町幸雄. コピュラを用いたCDO価格付けモデルのリスク計測モデルへの拡張. 統計数理. 2020. 68. 1. 107-127
  • 室町幸雄. 金利のレジーム遷移を考慮したコア預金モデル -コア預金のマチュリティー・ラダーの構築-. 首都大学東京大学院経営学研究科 Research Paper Series. 2019. 6. 1-39
  • Wenfeng Huang, Norio Kishida, Yukio Muromachi. Pricing Residential Mortgage-Backed Securities Based on the Long-term Stochastic Behaviors of Interest Rates and Prepayment Rates. JARIP Journal. 2017. 8. 1. 1-30
  • Yukio Muromachi. Improved estimation methods for value-at-risk, expected shortfall and risk contributions with high precision. JOURNAL OF RISK. 2015. 17. 6. 1-27
ｍore...
MISC (8)：
  • Ryuji Tanaka, Yukio Muromachi. On pricing interest-rate derivatives and interest-rate environments after LIBOR fallback, from the standpoint of multi-curve framework. Securities Analysts Journal. 2020. 58. 12. 16-26
  • A proposal of a stochastic interest rate model for evaluating financial risks. Communications of the Operations Research Society of Japan. 2020. 65. 7. 359-366
  • 室町 幸雄. 第63回シンポジウムルポ(情報の窓). オペレーションズ・リサーチ : 経営の科学. 2010. 55. 8. 493-495
  • 室町 幸雄. 信用リスクモデル(OR事典Wiki). オペレーションズ・リサーチ : 経営の科学. 2010. 55. 5. 308-309
  • 室町 幸雄. 金融危機概説(世界金融危機からの復活). シンポジウム. 2010. 63. 1-5
ｍore...
Books (13)：
  • 証券事典
    証券経済学会 公益財団法人日本証券経済研究所 2017
  • Recent Advances in Financial Engineering 2014
    World Scientific Publishing Co. 2016
  • Modeling Financial Risks
    2014
  • Recent Advances in Financial Engineering 2012
    World Scientific Publishing Co. 2013
  • Recent Advances in Financial Engineering 2011
    World Scientific Publishing Co. 2012
ｍore...
Education (3)：
  • 2002 - 2005 Kyoto University Graduate School of Economics
  • 1986 - 1991 The University of Tokyo Graduate School of Science Department of Geophysics
  • 1982 - 1986 The University of Tokyo School of Science Department of Geophysics
Professional career (1)：
  • Ph.D
Work history (3)：
  • 2020/04 - 現在 Tokyo Metropolitan University Graduate School of Management Professor
  • 2018/04 - 2020/03 Tokyo Metropolitan University Graduate School of Management Professor
  • 2012/04 - 2017/03 Tokyo Metropolitan University
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