Muromachi Yukio 室町幸雄

… Alternative Names

MUROMACHI Yukio 室町幸雄

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Researcher Number	70514719
Other IDs
Affiliation (Current)	2025: 東京都立大学, 経営学研究科, 教授
Affiliation (based on the past Project Information) *help	2022 – 2025: 東京都立大学, 経営学研究科, 教授 2018 – 2019: 首都大学東京, 経営学研究科, 教授 2016 – 2017: 首都大学東京, 社会科学研究科, 教授 2012 – 2015: 首都大学東京, 社会(科)学研究科, 教授 2013: 首都大学, 東京・社会(科)学研究科, 教授 … More 2010 – 2011: 首都大学東京, 社会科学研究科・経営学専攻, 教授 2008 – 2009: 首都大学東京, 大学院・社会科学研究科, 教授 2008 – 2009: Tokyo Metropolitan University, 社会科学研究科, 教授 2008: 首都大学東京, 社会科学研究科経営学専攻, 教授 Less
Review Section/Research Field	Principal Investigator Basic Section 25010:Social systems engineering-related / Social systems engineering/Safety system / Social systems engineering/Safety system Except Principal Investigator Social systems engineering/Safety system / Sections That Are Subject to Joint Review: Basic Section07030:Economic statistics-related , Basic Section07060:Money and finance-related / Basic Section 07030:Economic statistics-related / Basic Section 07060:Money and finance-related / Social systems engineering/Safety system
Keywords	Principal Investigator ファイナンス / 金融リスク管理 / ビッグデータ / 銀行内部データ分析 / 局面転換 / 信用リスク / 金利リスク / 資産負債管理 / マルチカーブ / 担保付取引 … More / デリバティブの価格付け / ストレステスト / 統計学的モデル / リスク計測 / 金融工学 / リスク管理 / システム工学 … More Except Principal Investigator ファイナンス / リスク管理 / 金融リスク管理 / リアルオプション / 金融工学 / 裾従属性 / 接合関数 / 金融ストレス / 従属構造 / 資産負債特性 / 本邦金融機関 / 住宅ローン担保証券 / デリバティブ評価 / マルチカーブ / 確率モデル / 確率論 / システム工学 / 市場分析 / ポートフォリオ効果 / 代替投資 / 情報の非対称性 / 保険 / 企業金融 / 数理ファイナンス Less

経済の局面転換を考慮したリスク管理のための確率モデルの提案と金融ビッグデータ分析Principal Investigator
- Principal Investigator
  
  室町幸雄
- Project Period (FY)
  2025 – 2027
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Review Section
  
  Basic Section 25010:Social systems engineering-related
- Research Institution
  Tokyo Metropolitan University
Modeling and analysis of dependency structures under financial stress
- Principal Investigator
  
  吉羽要直
- Project Period (FY)
  2024 – 2027
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Review Section
  
  Basic Section 07060:Money and finance-related
  Basic Section 07030:Economic statistics-related
  Sections That Are Subject to Joint Review: Basic Section07030:Economic statistics-related , Basic Section07060:Money and finance-related
- Research Institution
  Tokyo Metropolitan University
Property analyses and risk evaluation of asset and liability portfolios taking into account economic regime-change and debtors' prpoertiesPrincipal Investigator
- Principal Investigator
  
  室町幸雄
- Project Period (FY)
  2022 – 2024
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Review Section
  
  Basic Section 25010:Social systems engineering-related
- Research Institution
  Tokyo Metropolitan University
Reformulation of pricingPrincipal Investigator
- Principal Investigator
  
  MUROMACHI YUKIO
- Project Period (FY)
  2016 – 2019
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  Social systems engineering/Safety system
- Research Institution
  Tokyo Metropolitan University
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
- Principal Investigator
  
  Kijima Masaaki
- Project Period (FY)
  2014 – 2018
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Social systems engineering/Safety system
- Research Institution
  Hiroshima University
  Tokyo Metropolitan University
Research on uniting the statistical financial risk evaluation models and stress testsPrincipal Investigator
- Principal Investigator
  
  MUROMACHI Yukio
- Project Period (FY)
  2012 – 2014
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Social systems engineering/Safety system
- Research Institution
  Tokyo Metropolitan University
Research on the financial risk management of a portfolio including alternative investments
- Principal Investigator
  
  KIJIMA Masaaki
- Project Period (FY)
  2009 – 2013
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Social systems engineering/Safety system
- Research Institution
  Tokyo Metropolitan University
More precise estimation methods for the risk and the risk contribution of a portfolio consisting of financial instrumentsPrincipal Investigator
- Principal Investigator
  
  MUROMACHI Yukio
- Project Period (FY)
  2008 – 2009
- Research Category
  
  Grant-in-Aid for Young Scientists (Start-up)
- Research Field
  
  Social systems engineering/Safety system
- Research Institution
  Tokyo Metropolitan University
Development of risk management system for large-scale portfolio
- Principal Investigator
  
  MASAAKI Kijima
- Project Period (FY)
  2006 – 2008
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  Social systems engineering/Safety system
- Research Institution
  Tokyo Metropolitan University

[Book] 証券事典（証券経済学会，日本証券経済研究所編）2017
- Author(s)
  室町幸雄
- Total Pages
  981
- Publisher
  金融財政事情研究会
- ISBN
  9784322128819
- Data Source
  KAKENHI-PROJECT-16H03123
[Book] 証券事典（証券経済学会，日本証券経済研究所編）2017
- Author(s)
  室町幸雄（部分執筆）
- Total Pages
  981
- Publisher
  金融財政事情研究会
- ISBN
  9784322128819
- Data Source
  KAKENHI-PROJECT-26242028
[Book] Recent Advances in Financial Engineering 20142016
- Author(s)
  Kijima, M., Muromachi, Y., and Shibata, T.
- Total Pages
  226
- Publisher
  World Scientific Publishing, Co.
- Data Source
  KAKENHI-PROJECT-26242028
[Book] Recent Advances in Financial Engineering 20122014
- Author(s)
  (Editors) Takahashi, A., Shibata, T. and Muromachi, Y.
- Total Pages
  198
- Publisher
  World Scientific Publishing Co.
- Data Source
  KAKENHI-PROJECT-21241040
[Book] 金融リスクモデリング　－理論と重要課題へのアプローチ－2014
- Author(s)
  室町幸雄（編著）
- Total Pages
  202
- Publisher
  朝倉書店
- Data Source
  KAKENHI-PROJECT-24510194
[Book] 金融リスクモデリング　－理論と重要課題へのアプローチ－2014
- Author(s)
  室町幸雄（編著）
- Total Pages
  202
- Publisher
  朝倉書店
- Data Source
  KAKENHI-PROJECT-26242028
[Book] Recent Advances in Financial Engineering 20122014
- Author(s)
  (Editors) Takahashi, A., Shibata, T., Muromachi, Y.
- Total Pages
  198
- Publisher
  World Scientific Publishing Co.
- Data Source
  KAKENHI-PROJECT-24510194
[Book] Methods and Applications of Statistics in Business, Finance, and Management Science (53.The Black-Scholes Formula and Its Applications in Finance を執筆)2010
- Author(s)
  Kijima, M. and Muromachi, Y. (eds. N. Balakrishnan)
- Total Pages
  696
- Publisher
  JOHN WILEY & SONS
- Data Source
  KAKENHI-PROJECT-21241040
[Book] Methods and Applications of Statistics in Business, Finance, and Management Science (53.The Black-Scholes Formula and Its Applications in Financeを執筆)2010
- Author(s)
  Kijima, M., Muromachi, Y.(eds.N.Balakrishnan)
- Total Pages
  696
- Publisher
  JOHN WILEY & SONS
- Data Source
  KAKENHI-PROJECT-21241040
[Book] 金融工学ハンドブック(翻訳)(分担:第1章金融資産価格付けの基礎)2009
- Author(s)
  芝田隆志, 室町幸雄訳(木島正明監訳)
- Total Pages
  1028
- Publisher
  朝倉書店
- Data Source
  KAKENHI-PROJECT-20810024
[Book] 金融工学ハンドブック(第10章ポートフォリオの信用リスク計測)2009
- Author(s)
  室町幸雄訳(木島正明監訳)
- Data Source
  KAKENHI-PROJECT-20810024
[Book] 金融工学ハンドブック(第1章金融資産価格付けの基礎)2009
- Author(s)
  芝田隆志,室町幸雄訳(木島正明監訳)
- Publisher
  朝倉書店
- Data Source
  KAKENHI-PROJECT-20810024
[Book] 金融工学ハンドブック(翻訳)(分担:第1章金融資産価格付けの基礎)2009
- Author(s)
  芝田隆志, 室町幸雄訳(木島正明監訳)
- Total Pages
  1028
- Publisher
  朝倉書店
- Data Source
  KAKENHI-PROJECT-21241040
[Book] 金融工学ハンドブック(翻訳)(分担:第10章ポートフォリオの信用リスク計測)2009
- Author(s)
  室町幸雄訳(木島正明監訳)
- Total Pages
  1028
- Publisher
  朝倉書店
- Data Source
  KAKENHI-PROJECT-20810024
[Book] 金融工学ハンドブック(翻訳)(分担:第10章ポートフォリオの信用リスク計測)2009
- Author(s)
  室町幸雄訳(木島正明監訳)
- Total Pages
  1028
- Publisher
  朝倉書店
- Data Source
  KAKENHI-PROJECT-21241040
[Journal Article] A term structure model pf default-free and defaultable interest rates with regime-switching properties: useful tool for risk evaluation2023
- Author(s)
  Yukio Muromachi
- Journal Title
  
  東京都立大学大学院経営学専攻 Research Paper Series
  
  Volume: 46 Pages: 1-29
- Open Access
- Data Source
  KAKENHI-PROJECT-22K04583
[Journal Article] マクロ経済変数を用いた住宅ローンのデフォルト及びプリペイメント分析2023
- Author(s)
  松尾竜悟，竹原浩太，室町幸雄
- Journal Title
  
  東京都立大学大学院経営学専攻 Research Paper Series
  
  Volume: 45 Pages: 1-41
- Open Access
- Data Source
  KAKENHI-PROJECT-22K04583
[Journal Article] 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2020
- Author(s)
  室町　幸雄
- Journal Title
  
  統計数理
  
  Volume: ー
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-16H03123
[Journal Article] 金融リスク計測のための確率金利モデルの提案ー国際的規制の流れとは異なる視点からー2020
- Author(s)
  室町　幸雄
- Journal Title
  
  オペレーションズ・リサーチ
  
  Volume: ー
- Open Access
- Data Source
  KAKENHI-PROJECT-16H03123
[Journal Article] 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・ラダーの構築－2019
- Author(s)
  室町幸雄
- Journal Title
  
  首都大学東京経営学研究科Research Paper Series
  
  Volume: 6 Pages: 1-39
- Open Access
- Data Source
  KAKENHI-PROJECT-16H03123
[Journal Article] 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・ラダーの構築－2019
- Author(s)
  室町幸雄
- Journal Title
  
  首都大学東京経営学研究科Research Paper Series
  
  Volume: 6 Pages: 1-39
- Open Access
- Data Source
  KAKENHI-PROJECT-26242028
[Journal Article] 金利のレジーム遷移を考慮したコア預金額推定モデル　－コア預金のマチュリティー・ラダーの構築－2018
- Author(s)
  室町幸雄
- Journal Title
  
  首都大学東京大学院社会科学研究科経営学専攻 Research Paper Series
  
  Volume: 193 Pages: 1-20
- Data Source
  KAKENHI-PROJECT-26242028
[Journal Article] 金利のレジーム遷移を考慮したコア預金額推定モデル2018
- Author(s)
  室町幸雄
- Journal Title
  
  首都大学東京　経営学専攻　Research Paper Series
  
  Volume: 193 Pages: 1-20
- Data Source
  KAKENHI-PROJECT-16H03123
[Journal Article] プリペイメント率と金利の長期的な変動特性を考慮したRMBSの価格付け2017
- Author(s)
  黄文峰，岸田則生，室町幸雄
- Journal Title
  
  JARIP Journal
  
  Volume: 印刷中
- NAID
  40021164878
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-16H03123
[Journal Article] プリペイメント率と金利の長期的な変動特性を考慮したRMBSの価格付け2017
- Author(s)
  黄文峰，岸田則生，室町幸雄
- Journal Title
  
  JARIP Journal
  
  Volume: 印刷中
- NAID
  40021164878
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-26242028
[Journal Article] プリペイメント率と金利の長期的な変動特性を考慮したRMBSの価格付け2017
- Author(s)
  黄文峰，岸田則生，室町幸雄
- Journal Title
  
  日本保険・年金リスク学会誌
  
  Volume: 8 Pages: 1-30
- NAID
  40021164878
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-16H03123
[Journal Article] 与信集中リスク管理の高度化に向けた研究2017
- Author(s)
  室町幸雄
- Journal Title
  
  FSA Institute Discussion Paper Series
  
  Volume: 2 Pages: 1-51
- Data Source
  KAKENHI-PROJECT-16H03123
[Journal Article] プリペイメント率と金利の長期的な変動特性を考慮したRMBSの価格付け2017
- Author(s)
  黄文峰，岸田則生，室町幸雄
- Journal Title
  
  日本保険・年金リスク学会誌
  
  Volume: 8 Pages: 1-30
- NAID
  40021164878
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-26242028
[Journal Article] 与信集中リスク管理の高度化に向けた研究2017
- Author(s)
  室町幸雄
- Journal Title
  
  FSA Instiittute Discussion Paper Series
  
  Volume: 2 Pages: 1-51
- Data Source
  KAKENHI-PROJECT-26242028
[Journal Article] プリペイメント率と金利の長期的な変動特性を考慮したRMBS の価格付け2015
- Author(s)
  黄文峰，岸田則生，室町幸雄
- Journal Title
  
  首都大学東京大学院社会科学研究科経営学専攻 Research Paper Series
  
  Volume: 154 Pages: 1-32
- NAID
  40021164878
- Data Source
  KAKENHI-PROJECT-26242028
[Journal Article] Improved estimation methods for VaR, Expected Shortfall and the risk contributions with high precisions2015
- Author(s)
  Muromachi, Y.
- Journal Title
  
  Journal of Risk
  
  Volume: 印刷中
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-24510194
[Journal Article] Improved estimation methods for VaR, Expected Shortfall and the risk contributions with high precisions2015
- Author(s)
  Muromachi, Y.
- Journal Title
  
  Journal of Risk
  
  Volume: 印刷中
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-26242028
[Journal Article] Reformulation of the arbitrage-free pricing method under the multi-curve environment2015
- Author(s)
  Kijima, M. and Muromachi, Y.
- Journal Title
  
  首都大学東京大学院社会科学研究科経営学専攻 Research Paper Series
  
  Volume: 156 Pages: 1-28
- Data Source
  KAKENHI-PROJECT-26242028
[Journal Article] On the risk evaluation method based on the market model2014
- Author(s)
  Kijima, M. and Muromachi, Y.
- Journal Title
  
  Nonlinear Economic Dynamics and Financial Modelling
  
  Volume: 1 Pages: 253-273
- DOI
  10.1007/978-3-319-07470-2_15
- ISBN
  9783319074696, 9783319074702
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-24510194, KAKENHI-PROJECT-26242028
[Journal Article] On the Risk Evaluation Method Based on the Market Model2014
- Author(s)
  Kijima, M. and Muromachi, Y.
- Journal Title
  
  Advances in Nonlinear Economic Dynamics and Quantitative Finance, Springer Festschrift
  
  Volume: 印刷中
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21241040
[Journal Article] On the Risk Evaluation Method Based on the Market Model2014
- Author(s)
  Kijima, M. and Muromachi, Y.
- Journal Title
  
  Advances in Nonlinear Economic Dynamics and Quantitative Finance, Springer Festschrift
  
  Volume: 印刷中
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-24510194
[Journal Article] 超長期の金利と期限前償還率の変動特性を考慮したRMBSの価格付け2014
- Author(s)
  黄文峰，岸田則生，室町幸雄
- Journal Title
  
  日本保険・年金リスク学会　第12回研究発表大会予稿集
  
  Pages: 1-15
- Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-24510194
[Journal Article] 期限前償還リスクの期間構造と金利依存性を考慮したRMBSの価格付け2013
- Author(s)
  岸田則生，高山靖敏，室町幸雄
- Journal Title
  
  日本オペレーションズ・リサーチ学会和文論文誌
  
  Volume: 56 Pages: 53-75
- NAID
  110009686121
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-24510194
[Journal Article] Risk evaluation of a portfolio including forward-looking stress events with probabilities2013
- Author(s)
  Muromachi, Y.
- Journal Title
  
  首都大学東京　経営学専攻 Research paper Series
  
  Volume: 119 Pages: 1-41
- Data Source
  KAKENHI-PROJECT-21241040
[Journal Article] カウンターパーティーリスクを考慮したエネルギーデリバティブの価格付け2013
- Author(s)
  坂本秀和，室町幸雄
- Journal Title
  
  日本応用数理学会論文誌
  
  Volume: 23 (4) Pages: 563-584
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21241040
[Journal Article] カウンターパーティーリスクを考慮したエネルギーデリバティブの価格付け2013
- Author(s)
  坂本秀和, 室町幸雄
- Journal Title
  
  日本応用数理学会論文誌
  
  Volume: 23(4) Pages: 563-584
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21241040
[Journal Article] 期限前償還リスクの期間構造と金利依存性を考慮したRMBS の価格付け2013
- Author(s)
  岸田則生, 高山靖敏, 室町幸雄
- Journal Title
  
  日本オペレーションズ・リサーチ学会和文論文誌
  
  Volume: 56 Pages: 53-75
- NAID
  110009686121
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21241040
[Journal Article] 期限前償還リスクの期間構造と金利依存性を考慮したRMBSの価格付け2013
- Author(s)
  岸田則生，高山靖敏，室町幸雄
- Journal Title
  
  日本オペレーションズ・リサーチ学会和文論文誌
  
  Volume: 56 Pages: 53-75
- NAID
  110009686121
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21241040
[Journal Article] カウンターパーティーリスクを考慮したエネルギーデリバティブの価格付け2013
- Author(s)
  坂本秀和，室町幸雄
- Journal Title
  
  日本応用数理学会論文誌
  
  Volume: 23 (4) Pages: 563-584
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-24510194
[Journal Article] Risk evaluation of a portfolio including forward-looking stress events with probabilities2013
- Author(s)
  Muromachi, Y.
- Journal Title
  
  首都大学東京　経営学専攻 Research paper Series
  
  Volume: 119 Pages: 1-41
- Data Source
  KAKENHI-PROJECT-24510194
[Journal Article] カウンターパーティーリスクを考慮したエネルギーデリバティブの価格付け2012
- Author(s)
  坂本秀和，室町幸雄
- Journal Title
  
  日本保険・年金リスク学会（JARIP）第10回大会予稿集
  
  Volume: - Pages: 1-15
- Data Source
  KAKENHI-PROJECT-21241040
[Journal Article] カウンターパーティーリスクを考慮したエネルギーデリバティブの価格付け2012
- Author(s)
  坂本秀和，室町幸雄
- Journal Title
  
  日本保険・年金リスク学会（JARIP）第10回大会予稿集
  
  Volume: 10 Pages: 1-15
- Data Source
  KAKENHI-PROJECT-24510194
[Journal Article] Improved estimation method for VaR, Expected Shortfall and the risk contributions with high precisions2011
- Author(s)
  Muromachi, Y.
- Journal Title
  
  首都大学東京経営学専攻Research paper Series
  
  Volume: 93 Pages: 1-29
- Data Source
  KAKENHI-PROJECT-21241040
[Journal Article] Improved estimation method for VaR, Expected Shortfall and the risk contributions with high precisions2011
- Author(s)
  Muromachi, Y.
- Journal Title
  
  首都大学東京経営学専攻 Research paper Series
  
  Volume: 93 Pages: 1-29
- Data Source
  KAKENHI-PROJECT-21241040
[Journal Article] Black-Scholes Formula and Applications in Finance2010
- Author(s)
  Kijima, M., Muromachi, Y.
- Journal Title
  
  Methods and Applications of Statistics in Business, Finance, and Management Science (forthcoming)(未定)
- Data Source
  KAKENHI-PROJECT-21241040
[Journal Article] Black-Scholes Formula and Applications in Finance2010
- Author(s)
  Kijima, M., Muromachi, Y.
- Journal Title
  
  Methods and Applications of Statistics in Business, Finance, and Management Science (forthcoming)(未定)
- Data Source
  KAKENHI-PROJECT-20810024
[Journal Article] Decomposing total risk of a portfolio into the c ontributions of individual asset s2009
- Author(s)
  Muromachi, Y.
- Journal Title
  
  39th ASTIN Colloquium: Accep etd Papers
  
  Pages: 1-18
- URL
  http://www.actuaries.org/ASTIN/Colloquia/Helsinki/Papers_EN.cfm
- Data Source
  KAKENHI-PROJECT-20810024
[Journal Article] 証券化商品とサブプライムローン問題2009
- Author(s)
  室町幸雄
- Journal Title
  
  オペレーションズ・リサーチ 54
  
  Pages: 619-624
- NAID
  110007358696
- Data Source
  KAKENHI-PROJECT-20810024
[Journal Article] Decomposing total risk of a portfolio into the contributions of individual assets2009
- Author(s)
  Muromachi, Y.
- Journal Title
  
  39th ASTIN Colloquium : Accepetd Papers (http://www.actuaries.org/ASTIN/Colloquia/Helsinki/Papers_EN.cfm)
  
  Pages: 1-18
- Data Source
  KAKENHI-PROJECT-20810024
[Journal Article] 証券化商品とサブプライムローン問題2009
- Author(s)
  室町幸雄
- Journal Title
  
  オペレーションズ・リサーチ Vol.54,No.10
  
  Pages: 619-624
- NAID
  110007358696
- Data Source
  KAKENHI-PROJECT-20810024
[Journal Article] 証券化商品とサブプライムローン問題2009
- Author(s)
  室町幸雄
- Journal Title
  
  オペレーションズ・リサーチ 54
  
  Pages: 619-624
- NAID
  110007358696
- Data Source
  KAKENHI-PROJECT-21241040
[Journal Article] extension of the Wang transform derived from Buhlmann's economic premium principle for insurance risk2008
- Author(s)
  Kijima, M., and Muromachi, Y.
- Journal Title
  
  Insurance : Mathematics and Economics 42
  
  Pages: 887-896
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18310104
[Journal Article] An extension of the Wang transform derived from Buhlmann's economic premium principle for insurance risk2008
- Author(s)
  Ki jima, M., Muromachi, Y.
- Journal Title
  
  Insurance : Mathematics and Economics 42 (3)
  
  Pages: 887-896
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18310104
[Journal Article] Black-Scholes Formula and Applications in Finance
- Author(s)
  Kijima, M., Muromachi, Y.
- Journal Title
  
  Methods and Applications of Statistics in Business, Finance, an d Management Science (forthc oming)
- Data Source
  KAKENHI-PROJECT-20810024
[Presentation] A term structure model of default-free and defaultable interest rates with regime-switching properties: useful tool for risk evaluation2023
- Author(s)
  室町幸雄
- Organizer
  日本ファイナンス学会
- Data Source
  KAKENHI-PROJECT-22K04583
[Presentation] Pricing and Risk Evaluation of Interest Rate Risk and Credit Risk under Regime-Switching Environment2022
- Author(s)
  Yukio Muromachi
- Organizer
  RISK2022
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-22K04583
[Presentation] レジームスイッチング金利モデルを使ったリスク計測2019
- Author(s)
  室町　幸雄
- Organizer
  第7回統計数理研究所リスク解析戦略研究センター金融シンポジウム
- Data Source
  KAKENHI-PROJECT-16H03123
[Presentation] 複数の転換トリガーを考慮したCoCo債の価格付けとリスク低減のための規制のあり方2018
- Author(s)
  室町幸雄
- Organizer
  第30回RAMPシンポジウム
- Data Source
  KAKENHI-PROJECT-26242028
[Presentation] 当初証拠金の時価評価2017
- Author(s)
  室町幸雄
- Organizer
  金融工学・数理計量ファイナンスの諸問題 2017
- Data Source
  KAKENHI-PROJECT-16H03123
[Presentation] Margin Valuation Adjustments made simpler2017
- Author(s)
  Muromachi, Y.
- Organizer
  Research Seminar at LabEx-ReFi
- Place of Presentation
  Paris, France
- Data Source
  KAKENHI-PROJECT-26242028
[Presentation] Margin valuation adjustments made simpler2017
- Author(s)
  Yukio Muromachi
- Organizer
  2nd International Conference on Computational Finance (ICCF2017)
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26242028
[Presentation] 当初証拠金の時価評価2017
- Author(s)
  室町幸雄
- Organizer
  金融工学・数理計量ファイナンスの諸問題 2017
- Data Source
  KAKENHI-PROJECT-26242028
[Presentation] Margin valuation adjustments made simpler2017
- Author(s)
  Muromachi, Y.
- Organizer
  Research Seminar at LabEx-ReFi
- Place of Presentation
  Paris, France
- Year and Date
  2017-03-14
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16H03123
[Presentation] Margin valuation adjustmenrs made simpler2017
- Author(s)
  Yukio Muromachi
- Organizer
  2nd International Conference on Computational Finance (ICCF2017)
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16H03123
[Presentation] Reformulation of the arbitrage-free pricing method under the multi-curve environment2016
- Author(s)
  Muromachi, Y.
- Organizer
  Vienna Congress on Mathematical Finance
- Place of Presentation
  Vienna, Austria
- Year and Date
  2016-09-12
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26242028
[Presentation] Margin Valuation Adjustments made simpler2016
- Author(s)
  Muromachi, Y.
- Organizer
  Conference on Quantitative Methods for Financial Regulation
- Place of Presentation
  New York, USA
- Year and Date
  2016-09-10
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26242028
[Presentation] Reformulation of the arbitrage-free pricing method under the multi-curve environment2016
- Author(s)
  Muromachi, Y.
- Organizer
  Vienna Congress on Mathematical Finance
- Place of Presentation
  Vienna, Austria
- Year and Date
  2016-09-12
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16H03123
[Presentation] Margin valuation adjustments made simpler2016
- Author(s)
  Muromachi, Y.
- Organizer
  Conference on Quantitative Methods for Financial Regulation
- Place of Presentation
  New York, USA
- Year and Date
  2016-09-10
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16H03123
[Presentation] 金利とプリペイメント率の長期的な変動特性を考慮した RMBS の価格付けとその応用2015
- Author(s)
  室町幸雄
- Organizer
  統計数理研究所リスク解析戦略研究センター第４回金融シンポジウム「ファイナンスリスクのモデリングと制御 III」
- Place of Presentation
  学術総合センター，東京
- Year and Date
  2015-12-07
- Data Source
  KAKENHI-PROJECT-26242028
[Presentation] Pricing interest-rate sensitive securities by quadratic Gaussian model2015
- Author(s)
  Muromachi, Y.
- Organizer
  Winter Workshop on Operational Research, Finance and Mathematics 2015
- Place of Presentation
  Yubari, Hokkaido
- Year and Date
  2015-02-17
- Data Source
  KAKENHI-PROJECT-26242028
[Presentation] Pricing interest-rate sensitive securities by quadratic Gaussian model2015
- Author(s)
  Muromachi, Y.
- Organizer
  Winter Workshop on Operations Research, Finance and Mathematics 2015
- Place of Presentation
  Yubari, Hokkaido
- Year and Date
  2015-02-17
- Data Source
  KAKENHI-PROJECT-24510194
[Presentation] A risk evaluation model based on the implied copula model: Ddiscrete-time setting2015
- Author(s)
  Muromachi, Y.
- Organizer
  従属性と接合関数に関するシンポジウム International Symposium on Dependence and Copula
- Place of Presentation
  統計数理研究所，東京
- Year and Date
  2015-06-23
- Data Source
  KAKENHI-PROJECT-26242028
[Presentation] A new portfolio risk evaluation model including huge loss events derived from market prices: continuous-time version2014
- Author(s)
  Muromachi, Y.
- Organizer
  20th Conference of the International Federation of Operational Research Societies
- Place of Presentation
  Barcelona, Spain
- Year and Date
  2014-07-14
- Data Source
  KAKENHI-PROJECT-26242028
[Presentation] A new portfolio risk evaluation model including huge loss events derived from market prices: continuous-time version2014
- Author(s)
  Muromachi, Y.
- Organizer
  20th Conferences of the International Federation of Operational Research Societies
- Place of Presentation
  Barcelona, Spain
- Year and Date
  2014-07-14
- Data Source
  KAKENHI-PROJECT-24510194
[Presentation] 超長期の金利と期限前償還率の変動特性を考慮したRMBSの価格付け2014
- Author(s)
  室町幸雄
- Organizer
  日本保険・年金リスク学会　第12回研究発表大会
- Place of Presentation
  東京大学（駒場）
- Year and Date
  2014-11-01
- Data Source
  KAKENHI-PROJECT-26242028
[Presentation] On the risk evaluation method based on the market model2014
- Author(s)
  Muromachi, Y.
- Organizer
  Fourth IMS-FPS workshop 2014
- Place of Presentation
  Sydney, Australia
- Year and Date
  2014-07-05
- Data Source
  KAKENHI-PROJECT-24510194
[Presentation] Analytical RMBS pricing formulas consistent with observed term structures of interest rates and prepayment rates2014
- Author(s)
  Muromachi, Y.
- Organizer
  8th World Congress Bachelier Finance Society
- Place of Presentation
  Brussels, Belgium
- Year and Date
  2014-06-05
- Data Source
  KAKENHI-PROJECT-26242028
[Presentation] 超長期の金利と期限前償還率の変動特性を考慮したRMBSの価格付け2014
- Author(s)
  室町幸雄
- Organizer
  日本保険・年金リスク学会　第12回研究発表大会
- Place of Presentation
  東京大学（駒場）
- Year and Date
  2014-11-01
- Data Source
  KAKENHI-PROJECT-24510194
[Presentation] Analytical RMBS pricing formulas consistent with observed term structures of interest rates and prepayment rates2014
- Author(s)
  Muromachi, Y.
- Organizer
  8th World Congress Bachelier Finance Society
- Place of Presentation
  Brussels, Belgium
- Year and Date
  2014-06-05
- Data Source
  KAKENHI-PROJECT-24510194
[Presentation] On the risk evaluation method based on the market model2014
- Author(s)
  Muromachi, Y.
- Organizer
  Fourth IMS-FPS workshop 2014
- Place of Presentation
  Sydney, Australia
- Year and Date
  2014-07-05
- Data Source
  KAKENHI-PROJECT-26242028
[Presentation] Pricing Commodity Derivatives with Counterparty Credit Risk2013
- Author(s)
  Yukio Muromachi
- Organizer
  Winter Workshop on Finance 2013
- Place of Presentation
  北海道大学（北海道）
- Data Source
  KAKENHI-PROJECT-21241040
[Presentation] Pricing Residential Mortgage-Backed Securities with Term Structures and Interest-Rate Sensitivities of Prepayment Rates2013
- Author(s)
  Muromachi, Y.
- Organizer
  Quantitative Methods in Finance Conference
- Place of Presentation
  Sydney, Australia
- Data Source
  KAKENHI-PROJECT-21241040
[Presentation] Pricing Residential Mortgage-Backed Securities with Term Structures and Interest-Rate Sensitivities of Prepayment Rates2013
- Author(s)
  Muromachi, Y.
- Organizer
  Quantitative Methods in Finance Conference
- Place of Presentation
  Sydney, Australia
- Data Source
  KAKENHI-PROJECT-24510194
[Presentation] Pricing Commodity Derivatives with Counterparty Credit Risk2013
- Author(s)
  Yukio Muromachi
- Organizer
  Winter Workshop on Finance 2013
- Place of Presentation
  Hokkaido University (Hokkaido)
- Data Source
  KAKENHI-PROJECT-24510194
[Presentation] Risk Evaluation of a Portfolio Including Forward-Looking Stress Events with Probabilities2012
- Author(s)
  Yukio Muromachi
- Organizer
  Bachelier Finance Society 7th World Congress
- Place of Presentation
  Sydney (Australia)
- Data Source
  KAKENHI-PROJECT-24510194
[Presentation] Statistical risk evaluation of a portfolio including forward-looking stress events2012
- Author(s)
  Yukio Muromachi
- Organizer
  Workshop Copulae in Mathematical and Quantitative Finance
- Place of Presentation
  Krakow (Poland)
- Data Source
  KAKENHI-PROJECT-24510194
[Presentation] Risk Evaluation of a Portfolio Including Forward-Looking Stress Events with Probabilities2012
- Author(s)
  Muromachi, Y.
- Organizer
  RMI (Risk Management Institute) Research Seminar
- Place of Presentation
  National University of Singapore, Singapore
- Year and Date
  2012-03-23
- Data Source
  KAKENHI-PROJECT-21241040
[Presentation] Risk Evaluation of a Portfolio Including Forward-Looking Stress Events with Probabilities2012
- Author(s)
  Muromachi, Y.
- Organizer
  Winter Workshop on Finance 2012
- Place of Presentation
  北海道大学, 北海道
- Year and Date
  2012-02-13
- Data Source
  KAKENHI-PROJECT-21241040
[Presentation] Risk Evaluation of a Portfolio Including Forward-Looking Stress Events with Probabilities2012
- Author(s)
  Muromachi, Y.
- Organizer
  Winter Workshop on Finance 2012
- Place of Presentation
  北海道大学,北海道
- Year and Date
  2012-02-13
- Data Source
  KAKENHI-PROJECT-21241040
[Presentation] Risk Evaluation of a Portfolio Including Forward-Looking Stress Events with Probabilities2012
- Author(s)
  Yukio Muromachi
- Organizer
  Bachelier Finance Society 7th World Congress
- Place of Presentation
  Sydney (Australia)
- Data Source
  KAKENHI-PROJECT-21241040
[Presentation] Statistical risk evaluation of a portfolio including forward-looking stress events2012
- Author(s)
  Yukio Muromachi
- Organizer
  Workshop Copulae in Mathematical and Quantitative Finance
- Place of Presentation
  Krakow (Poland)
- Data Source
  KAKENHI-PROJECT-21241040
[Presentation] Risk Evaluation of a Portfolio Including Forward-Looking Stress Events with Probabilities2011
- Author(s)
  室町幸雄
- Organizer
  横浜国立大学・南山大学共同ファイナンス・ワークショップ
- Place of Presentation
  横浜国立大学,神奈川
- Year and Date
  2011-12-04
- Data Source
  KAKENHI-PROJECT-21241040
[Presentation] An application of the implied copula model to the risk evaluation of a portfolio, Poster Number 3692010
- Author(s)
  Muromachi, Y.
- Organizer
  6th World Congress of the Bachelier Finance Society
- Place of Presentation
  カナダ,トロント
- Year and Date
  2010-06-24
- Data Source
  KAKENHI-PROJECT-21241040
[Presentation] 金融危機概説2010
- Author(s)
  室町幸雄
- Organizer
  日本オペレーションズ・リサーチ学会第63回シンポジウム
- Place of Presentation
  東京, 秋葉原
- Year and Date
  2010-03-03
- Data Source
  KAKENHI-PROJECT-20810024
[Presentation] 金融危機概説2010
- Author(s)
  室町幸雄
- Organizer
  日本オペレーションズ・リサーチ学会第63回シンポジウム
- Place of Presentation
  東京,秋葉原
- Year and Date
  2010-03-03
- Data Source
  KAKENHI-PROJECT-20810024
[Presentation] An application of the implied copula model to the risk evaluation of a portfolio2010
- Author(s)
  Muromachi, Y.
- Organizer
  CREST-Sakigake International Symposium
- Place of Presentation
  東京工業大学
- Year and Date
  2010-12-18
- Data Source
  KAKENHI-PROJECT-21241040
[Presentation] Decomposing Expected Shortfall of a Portfolio into the Contrib utions of Individual Assets and its Robust Estimation Method2009
- Author(s)
  Muromachi, Y.
- Organizer
  The 2009 Applied Business Research Conference
- Place of Presentation
  Oahu, Hawaii, USA
- Year and Date
  2009-01-05
- Data Source
  KAKENHI-PROJECT-20810024
[Presentation] Decomposing Expected Shortfall of a Portfolio into the Contributions of Individual Assets and its Robust Estimation Method2009
- Author(s)
  Muromachi, Y.
- Organizer
  The 2009 Applied Business Research Conference
- Place of Presentation
  Waikiki Beach Marriott, Oahu, Hawaii, USA
- Year and Date
  2009-01-05
- Data Source
  KAKENHI-PROJECT-18310104
[Presentation] Decomposing Expected Shortfall of a Portfolio into the Contributions of Individual Assets and its Robust Estimation Method2009
- Author(s)
  Muromachi, Y.
- Organizer
  The 2009 Applied Business Research Conference
- Place of Presentation
  Honolulu, USA.
- Data Source
  KAKENHI-PROJECT-18310104
[Presentation] Decomposing total risk of a portfolio into the contributions of individual assets2009
- Author(s)
  Muromachi, Y.
- Organizer
  39th ASTIN Colloquium
- Place of Presentation
  Helsinki, Finland
- Year and Date
  2009-06-02
- Data Source
  KAKENHI-PROJECT-21241040
[Presentation] Decomposing total risk of a portfolio into the contributions of individual assets2009
- Author(s)
  Muromachi, Y.
- Organizer
  39th ASTIN Colloquium
- Place of Presentation
  Helsinki, Finland
- Year and Date
  2009-06-02
- Data Source
  KAKENHI-PROJECT-20810024
[Presentation] Decomposing Expected Shortfall of a Portfolio into the Contributions of Individual Assets and its Robust Estimation Method2009
- Author(s)
  Muromachi, Y.
- Organizer
  The 2009 Applied Business Research Conference
- Place of Presentation
  Oahu, Hawaii, USA
- Year and Date
  2009-01-05
- Data Source
  KAKENHI-PROJECT-20810024
[Presentation] Extensions of the Wang Transform for the pricing of insurance and financial risks2008
- Author(s)
  Muromachi, Y.
- Organizer
  38th ASTIN Colloquium
- Place of Presentation
  Town Hall, Manchester, UK
- Year and Date
  2008-07-15
- Data Source
  KAKENHI-PROJECT-18310104
[Presentation] Extensions of the Wang Transform for the pricing of insurance and financial risks2008
- Author(s)
  Muromachi, Y.
- Organizer
  38th ASTIN Colloquium
- Place of Presentation
  Manchester, UK
- Data Source
  KAKENHI-PROJECT-18310104
[Presentation] カウンターパーティーリスクを考慮したエネルギーデリバティブの価格付け
- Author(s)
  室町幸雄
- Organizer
  日本保険・年金リスク学会（JARIP）第10回大会
- Place of Presentation
  東京大学（東京都）
- Data Source
  KAKENHI-PROJECT-21241040
[Presentation] カウンターパーティーリスクを考慮したエネルギーデリバティブの価格付け
- Author(s)
  室町幸雄
- Organizer
  日本保険・年金リスク学会（JARIP）第10回大会
- Place of Presentation
  東京大学（東京都）
- Data Source
  KAKENHI-PROJECT-24510194

1. MASAAKI Kijima (00186222)

# of Collaborated Projects: 4 results

# of Collaborated Products: 9 results
2. SHIBATA Takashi (70372597)

# of Collaborated Projects: 3 results

# of Collaborated Products: 3 results
3. TANAKA Keiichi (00381442)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
4. YAMASHITA Hideaki (30200687)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
5. 西出勝正 (40410683)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
6. 内田善彦 (10403023)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
7. HARA Chiaki (90314468)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
8. NAKAOKA Hidetaka (20516025)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
9. WATANABE Takahiro (70220895)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
10. NOGUCHI Masayoshi (70237832)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
11. IIBOSHI Hirokuni (90381441)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
12. OGATA Hiroaki (30454086)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
13. 内山朋規 (50772125)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
14. 鈴木輝好 (90360891)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
15. 吉羽要直 (20848428)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
16. 夷藤翔 (80991984)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
17. 小池孝明 (80898742)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
18. 加藤昇吾 (60468535)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
19. TAMBA yasuhiro

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results

Muromachi Yukio 室町 幸雄

MUROMACHI Yukio 室町 幸雄

Research Projects

Research Products

Co-Researchers

経済の局面転換を考慮したリスク管理のための確率モデルの提案と金融ビッグデータ分析Principal Investigator

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Modeling and analysis of dependency structures under financial stress

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Property analyses and risk evaluation of asset and liability portfolios taking into account economic regime-change and debtors' prpoertiesPrincipal Investigator

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Reformulation of pricingPrincipal Investigator

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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

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Research on uniting the statistical financial risk evaluation models and stress testsPrincipal Investigator

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Research on the financial risk management of a portfolio including alternative investments

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More precise estimation methods for the risk and the risk contribution of a portfolio consisting of financial instrumentsPrincipal Investigator

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Development of risk management system for large-scale portfolio

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[Book] 証券事典（証券経済学会，日本証券経済研究所編）2017

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[Book] 証券事典（証券経済学会，日本証券経済研究所編）2017

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[Book] Recent Advances in Financial Engineering 20142016

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[Book] Recent Advances in Financial Engineering 20122014

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Muromachi Yukio 室町幸雄

MUROMACHI Yukio 室町幸雄

[Book] 金融リスクモデリング　－理論と重要課題へのアプローチ－2014

[Book] 金融リスクモデリング　－理論と重要課題へのアプローチ－2014

[Book] 金融工学ハンドブック(翻訳)(分担:第1章金融資産価格付けの基礎)2009

[Book] 金融工学ハンドブック(翻訳)(分担:第1章金融資産価格付けの基礎)2009

[Book] 金融工学ハンドブック(翻訳)(分担:第10章ポートフォリオの信用リスク計測)2009

[Book] 金融工学ハンドブック(翻訳)(分担:第10章ポートフォリオの信用リスク計測)2009

[Journal Article] 金融リスク計測のための確率金利モデルの提案ー国際的規制の流れとは異なる視点からー2020

[Journal Article] 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・ラダーの構築－2019