Koike Takaaki

コイケタカアキ | Koike Takaaki

Affiliation and department：
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 (1)：

2021 - 2025 Capital allocation and dependence modeling in risk management

Papers (12)：

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
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
Toshinao Yoshiba, Takaaki Koike, Shogo Kato. On a Measure of Tail Asymmetry for the Bivariate Skew-Normal Copula. Symmetry. 2023. 15. 7. 1410-1410

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MISC (4)：

Takaaki Koike, Cathy W.S. Chen, Edward, M.H. Lin. Forecasting and Backtesting Gradient Allocations of Expected Shortfall. arXiv.2401.11701. 2024
Takaaki Koike, Liyuan Lin, Ruodu Wang. Invariant correlation under marginal transforms. Arxiv:2306.11188. 2023
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 (28)：

Backtesting risk functionals
(The Japanese Association of Risk, Insurance and Pensions (JARIP) 2023)
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 2023)
Forecasting Gradient Allocations of Expected Shortfall
(Economic Statistics Workshop at Hitotsubashi University 2023)
Forecasting Gradient Allocations of Expected Shortfall
(Advances in Copula Theory 2023)
Measuring non-exchangeable tail dependence using tail copulas
(10th International Congress on Industrial and Applied Mathematics (ICIAM 2023) 2023)

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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 (6)：

2024/04 - 現在 The Institute of Statistical Mathematics Risk Analysis Research Center (RARC) Visiting Assistant Professor
2022/04 - 現在 Hitotsubashi University Graduate School of Economics Assistant Professor
2020/12 - 現在 Keio University Faculty of Science and Technology Visiting assistant professor
2022/04 - 2024/03 The Institute of Statistical Mathematics Risk Analysis Research Center Visiting Research Fellow
2020/10 - 2022/03 The Institute of Statistical Mathematics Risk Analysis Research Center Project Assistant Professor

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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

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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

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