TSUKAHARA Hideatsu 塚原英敦

Researcher Number	10282550
Other IDs
External Links
Affiliation (Current)	2025: 成城大学, 経済学部, 教授
Affiliation (based on the past Project Information) *help	2008 – 2024: Seijo University, 経済学部, 教授 2007: Seijo University, 経済学部, 准教授 2006: 成城大学, 経済学部, 助教授 2001 – 2004: 成城大学, 経済学部, 助教授 1999 – 2000: 成城大学, 経済学部, 講師
Review Section/Research Field	Principal Investigator Statistical science / Basic Section 07030:Economic statistics-related / Economic statistics / Economic statistics Except Principal Investigator Economic statistics / Economic statistics
Keywords	Principal Investigator リスク管理 / 計量ファイナンス / リスク計測 / コピュラ / 接合関数 / リスク尺度 / 定量的リスク管理 / 金融工学 / 保険数理 / 高頻度データ … More / 経済統計学 / 数理ファイナンス / 変換モデル / 最小距離推定 / M-推定 / セミパラメトリック・モデル / 統計的機械学習 / バックテスト / 死亡率予測 / 統計的極値理論 / 非対称分布のモデリング / リスク因子の探索 / ボラティリティ / リスク計測手法 / 統計的手法 / ファイナンス / 統計数学 / 打切りデータ / セミパラメトリック推定 / 歪み変換 / 漸近理論 / セミパラメトリック / コピュラ関数 / 接合分布関数 / 順位推定 / 漸近論 / 多変量モデル … More Except Principal Investigator 金融リスク / リスク尺度 / 信用リスク / Contingent Claims / Statistical Time Series Analysis / Semi-Martingale Processes / Continuous Diffusion Processes / Credit Risks / Interest Risks / Financial Risks / 派生証券 / 統計的時系列解析 / セミ・マルチンゲール過程 / 連続拡散過程 / 金利リスク / 再帰的現象 / 希な現象 / 統計的リスク管理 / 社会・経済リスク / 高頻度金融データの統計学 / 保険の統計学 / 稀な現象と再帰的現象 / 統計学 / 確率過程 / 再起的事象 / 希な事象 / 保険リスク / 経済リスク / 高頻度金融データの計量理論 / 社債の価格理論 / 統計的強度モデル / 統計的金融リスク管理論 / 高頻度ファイナンス計量分析 / ミクロ金融市場 / 金融危機 Less

Innovative development of statistical and machine learning approach focusing on the evaluation of financial and actuarial riskPrincipal Investigator
- Principal Investigator
  
  塚原英敦
- Project Period (FY)
  2022 – 2025
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Review Section
  
  Basic Section 07030:Economic statistics-related
- Research Institution
  Seijo University
New developments of statistical methods for risk management in finance and insurancePrincipal Investigator
- Principal Investigator
  
  Tsukahara Hideatsu
- Project Period (FY)
  2018 – 2020
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Review Section
  
  Basic Section 07030:Economic statistics-related
- Research Institution
  Seijo University
A study of statistical methods in quantitative risk management, focusing on copulas and risk measuresPrincipal Investigator
- Principal Investigator
  
  Tsukahara Hideatsu
- Project Period (FY)
  2015 – 2017
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  Economic statistics
- Research Institution
  Seijo University
New Developments in Statistics of Economic Risk and Financial Risk
- Principal Investigator
  
  naoto kunitomo
- Project Period (FY)
  2013 – 2016
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Economic statistics
- Research Institution
  Meiji University
  The University of Tokyo
Research on Statistical Modeling and Methods for Quantitative Risk ManagementPrincipal Investigator
- Principal Investigator
  
  TSUKAHARA Hideatsu
- Project Period (FY)
  2012 – 2014
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Statistical science
- Research Institution
  Seijo University
New Developments in Financial Econometrics and Financial Markets in Japan
- Principal Investigator
  
  KUNITOMO Naoto
- Project Period (FY)
  2009 – 2011
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Economic statistics
- Research Institution
  The University of Tokyo
A Study of Mathematical Models for Risk MeasurementPrincipal Investigator
- Principal Investigator
  
  TSUKAHARA Hideatsu
- Project Period (FY)
  2009 – 2011
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Statistical science
- Research Institution
  Seijo University
Study of multivariate extreme value theory and dependence in quantitative financial risk analysisPrincipal Investigator
- Principal Investigator
  
  TSUKAHARA Hideatsu
- Project Period (FY)
  2006 – 2008
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Statistical science
- Research Institution
  Seijo University
コピュラ・モデルの統計的推測とファイナンスへの応用Principal Investigator
- Principal Investigator
  
  塚原英敦
- Project Period (FY)
  2002 – 2004
- Research Category
  
  Grant-in-Aid for Young Scientists (B)
- Research Field
  
  Economic statistics
- Research Institution
  Seijo University
信用リスクのモデリングとその統計的実証研究Principal Investigator
- Principal Investigator
  
  塚原英敦
- Project Period (FY)
  2000 – 2001
- Research Category
  
  Grant-in-Aid for Encouragement of Young Scientists (A)
- Research Field
  
  Economic statistics
- Research Institution
  Seijo University
Measuring Financial Risks
- Principal Investigator
  
  KUNITOMO Naoto
- Project Period (FY)
  1999 – 2000
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Economic statistics
- Research Institution
  Faculty of Economics, University of Tokyo

[Book] 定量的リスク管理:基礎概念と数理技法2008
- Author(s)
  アレクサンダー・J・マクニール,リュディガー・フライ,ポール・エンブレヒツ著(塚原英敦訳者代表)
- Total Pages
  627
- Publisher
  共立出版
- Data Source
  KAKENHI-PROJECT-18500217
[Book] 定量的リスク管理 : 基礎概念と数理技法2008
- Author(s)
  アレクサンダー, J, マクニール塚原英敦(訳者代表)
- Total Pages
  628
- Publisher
  共立出版
- Data Source
  KAKENHI-PROJECT-18500217
[Journal Article] Resampling Procedures with Empirical Beta Copulas2021
- Author(s)
  Anna Kiriliouk，Johan Segers，Hideatsu Tsukahara
- Journal Title
  
  Pioneering Works on Extreme Value Theory: In Honor of Masaaki Sibuya
  
  Volume: － Pages: 27-53
- DOI
  10.1007/978-981-16-0768-4_2
- ISBN
  9789811607677, 9789811607684
- Peer Reviewed / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-18H00836
[Journal Article] リスク解析における接合関数2021
- Author(s)
  塚原英敦
- Journal Title
  
  日本統計学会誌
  
  Volume: 51 Pages: 101-121
- NAID
  130008088075
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18H00836
[Journal Article] 接合関数モデルにおける統計的推測2020
- Author(s)
  塚原英敦
- Journal Title
  
  統計数理
  
  Volume: 68 Pages: 5-24
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18H00836
[Journal Article] The empirical beta copula2017
- Author(s)
  Segers Johan、Sibuya Masaaki、Tsukahara Hideatsu
- Journal Title
  
  Journal of Multivariate Analysis
  
  Volume: 155 Pages: 35-51
- DOI
  10.1016/j.jmva.2016.11.010
- Peer Reviewed / Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15H03337, KAKENHI-PROJECT-16H02791
[Journal Article] 接合分布関数（コピュラ）― その類型と理論の展望 ―2014
- Author(s)
  塚原英敦
- Journal Title
  
  証券アナリストジャーナル
  
  Volume: 52 (3) Pages: 23-32
- Data Source
  KAKENHI-PROJECT-25245033
[Journal Article] 接合分布関数（コピュラ）― その類型と理論の展望 ―2014
- Author(s)
  塚原英敦
- Journal Title
  
  証券アナリストジャーナル
  
  Volume: 52 Pages: 23-33
- Data Source
  KAKENHI-PROJECT-24500347
[Journal Article] Estimation of Distortion Risk Measures2013
- Author(s)
  Hideatsu Tsukahara
- Journal Title
  
  Journal of Financial Econometrics
  
  Volume: 11 Issue: 1 Pages: 213-235
- DOI
  10.1093/jjfinec/nbt005
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-24500347, KAKENHI-PROJECT-25245033
[Journal Article] Inference in multivariate Archimedean copula models2011
- Author(s)
  Hideatsu Tsukahara
- Journal Title
  
  TEST
  
  Volume: vol.20 Issue: 2 Pages: 287-289
- DOI
  10.1007/s11749-011-0257-z
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21500282
[Journal Article] Comments on : Inference in multivariate Archimedean copula models2011
- Author(s)
  Hideatsu Tsukahara
- Journal Title
  
  TEST
  
  Volume: 20 Pages: 287-289
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21243019
[Journal Article] Erratum to "Semiparametric estimation in copula models"2011
- Author(s)
  Hideatsu Tsukahara
- Journal Title
  
  Canadian Journal of Statistics
  
  Volume: vol.39, No.4 Pages: 734-735
- DOI
  10.1002/cjs
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-21500282, KAKENHI-PROJECT-16J03875
[Journal Article] One-parameter families of distortion risk measures2009
- Author(s)
  Hideatsu Tsukahara
- Journal Title
  
  Mathematical Finance
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18500217
[Journal Article] One-Parameter Families of Distorsion Risk Measures2009
- Author(s)
  Tsukahara, H.
- Journal Title
  
  Mathematical Finance
  
  Volume: 19-4 Pages: 691-705
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21243019
[Journal Article] One-parameter families of distortion risk measures2009
- Author(s)
  Hideatsu Tsukahara
- Journal Title
  
  Mathematical Finance
  
  Volume: vol.19 Issue: 4 Pages: 691-705
- DOI
  10.1111/j.1467-9965.2009.00385.x
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21500282
[Journal Article] One-Parameter Families of Distorsion Risk Measures2009
- Author(s)
  Tsukahara, H.
- Journal Title
  
  Mathematical Finance 19-4
  
  Pages: 691-705
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21243019
[Journal Article] Some properties of distortion risk measures2009
- Author(s)
  Hideatsu Tsukahara
- Journal Title
  
  Advances in Mathematical Economics
  
  Volume: vol.12 Pages: 153-166
- DOI
  10.1007/978-4-431-92935-2_6
- ISBN
  9784431929345, 9784431929352
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21500282
[Journal Article] Some properties of distortion risk measures2009
- Author(s)
  Hideatsu Tsukahara
- Journal Title
  
  Mathematical Economics vol.12
  
  Pages: 153-166
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18500217
[Journal Article] 接合分布関数(コピュラ)の理論と応用2008
- Author(s)
  塚原英敦
- Journal Title
  
  北川源四郎・竹村彰通編『21世紀の統計科学 III: 数理・計算の統計科学』(東京大学出版会)
  
  Pages: 111-146
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18500217
[Journal Article] デフォルトの起こり得る証券のモデル化と価格付け理論について2008
- Author(s)
  塚原英敦
- Journal Title
  
  成城大学経済研究 182号
  
  Pages: 43-56
- NAID
  110007333675
- Data Source
  KAKENHI-PROJECT-18500217
[Journal Article] 接合分布関数(コピュラ)の理論と応用2008
- Author(s)
  塚原英敦
- Journal Title
  
  21世紀の統計科学Vol.3数理・計算の統計科学 (出版確定)
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18500217
[Journal Article] 接合分布関数(コピュラ)の理論と応用2008
- Author(s)
  塚原英敦
- Journal Title
  
  北川源四郎・竹村彰通編『21世紀の統計科学 III : 数理・計算の統計科学』
  
  Pages: 111-146
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18500217
[Journal Article] 確率過程の推測 : 第1節「生存解析」2007
- Author(s)
  塚原英敦
- Journal Title
  
  岩波数学辞典第4版
  
  Pages: 138-139
- Data Source
  KAKENHI-PROJECT-18500217
[Journal Article] On the convergence of measurable processes and prediction processes2007
- Author(s)
  Hideatsu Tsukahara
- Journal Title
  
  Illinois Journal of Mathematics 51
- Data Source
  KAKENHI-PROJECT-18500217
[Journal Article] リスク尺度 - 理論と統計手法2007
- Author(s)
  塚原英敦
- Journal Title
  
  リスクと保険 Vol.3
  
  Pages: 3-19
- NAID
  40015793727
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18500217
[Journal Article] On the convergence of measurable processes and prediction processes2007
- Author(s)
  Hideatsu Tsukahara
- Journal Title
  
  Illinois Journal of Mathematics vol.51
  
  Pages: 1231-1242
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18500217
[Journal Article] リスク尺度 : 理論と統計手法2007
- Author(s)
  塚原英敦
- Journal Title
  
  リスクと保険 2
  
  Pages: 3-20
- NAID
  40015793727
- Data Source
  KAKENHI-PROJECT-18500217
[Journal Article] Semiparametric Estimation in Copula Models2005
- Author(s)
  Hideatsu Tsukahara
- Journal Title
  
  Canadian Journal of Statistics Vol.33, No.3
- Data Source
  KAKENHI-PROJECT-14730029
[Presentation] On a generalization of Clayton-Oakes model by R. L. Prentice2022
- Author(s)
  塚原英敦
- Organizer
  接合関数（コピュラ）理論の新展開
- Invited
- Data Source
  KAKENHI-PROJECT-23K22105
[Presentation] Backtesting and Prequential Analysis2022
- Author(s)
  Hideatsu Tsukahara
- Organizer
  UCL-Osaka International Conference on the Mathematics for Risk and Decisions
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-18H00836
[Presentation] 多変量生存解析における接合関数アプローチ2021
- Author(s)
  塚原英敦
- Organizer
  統計数理研究所リスク解析戦略研究センターシンポジウム
- Invited
- Data Source
  KAKENHI-PROJECT-18H00836
[Presentation] A copula approach to spatial econometrics with applications to finance2020
- Author(s)
  塚原英敦
- Organizer
  2020年度統計関連学会連合大会
- Data Source
  KAKENHI-PROJECT-18H00836
[Presentation] A Copula Approach to Spatial Econometrics with Applications to Finance2019
- Author(s)
  Hideatsu Tsukahara
- Organizer
  12th International Conference of the ERCIM WG on Computational and Methodological Statistics (CMStatistics 2019)
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-18H00836
[Presentation] Backtesting, Prequential Analysis and Prediction Process2019
- Author(s)
  Hideatsu Tsukahara
- Organizer
  Workshop on Asset Pricing and Risk Management
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-18H00836
[Presentation] A Copula Approach to Spatial Econometrics with Applications to Finance2019
- Author(s)
  Hideatsu Tsukahara
- Organizer
  62nd ISI World Statistics Congress
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-18H00836
[Presentation] Backtesting, Prequential Analysis and Prediction Process2019
- Author(s)
  Hideatsu Tsukahara
- Organizer
  The 3rd KAFE-JAFEE International Conference on Financial Engineering
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-18H00836
[Presentation] On Some Resampling Procedures with the Empirical Beta Copula2019
- Author(s)
  Hideatsu Tsukahara
- Organizer
  The 3rd International Conference on Econometrics and Statistics (EcoSta 2019)
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-18H00836
[Presentation] On Some Resampling Procedures with the Empirical Beta Copula2019
- Author(s)
  Hideatsu Tsukahara
- Organizer
  Pioneering Workshop on Extreme Value and Distribution Theories: In Honor of Professor Masaaki Sibuya
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-18H00836
[Presentation] A Copula Approach to Spatial Econometrics with Applications to Finance2019
- Author(s)
  Hideatsu Tsukahara
- Organizer
  10th CEQURA Conference on Advances in Financial and Insurance Risk Management
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-18H00836
[Presentation] On Some Resampling Procedures with the Empirical Beta Copula2019
- Author(s)
  塚原英敦
- Organizer
  2019年度統計関連学会連合大会
- Data Source
  KAKENHI-PROJECT-18H00836
[Presentation] Backtesting, Prequential Analysis and Prediction Process2019
- Author(s)
  塚原英敦
- Organizer
  中之島ワークショップ「金融工学・数理ファイナンスの諸問題2019」
- Invited
- Data Source
  KAKENHI-PROJECT-18H00836
[Presentation] Backtesting in Finance and Prequential Analysis2018
- Author(s)
  塚原英敦
- Organizer
  DSSRセミナー，サービス・データ科学研究センター
- Data Source
  KAKENHI-PROJECT-15H03337
[Presentation] Backtesting, Prequential Analysis and Prediction Processes2018
- Author(s)
  Hideatsu Tsukahara
- Organizer
  11th International Conference of the ERCIM WG on CMStatistics 2018
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-18H00836
[Presentation] Backtesting in Finance and Prequential Analysis2017
- Author(s)
  Hideatsu Tsukahara
- Organizer
  10th International Conference of the ERCIM WG on CMStatistics 2017
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15H03337
[Presentation] Backtesting and Prequential Analysis2017
- Author(s)
  Hideatsu Tsukahara
- Organizer
  8th CEQURA Conference on Advances in Financial and Insurance Risk Management
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15H03337
[Presentation] The Empirical Beta Copula2016
- Author(s)
  Hideatsu Tsukahara
- Organizer
  8th International Conference on CFE-CMStatistics 2016
- Place of Presentation
  セビリア，スペイン
- Year and Date
  2016-12-09
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15H03337
[Presentation] The Empirical Beta Copula2016
- Author(s)
  Hideatsu Tsukahara
- Organizer
  International Conference on Statistical Distributions and Applications (ICOSDA) 2016
- Place of Presentation
  ナイアガラ・フォールズ，カナダ
- Year and Date
  2016-10-14
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15H03337
[Presentation] The Empirical Beta Copula2016
- Author(s)
  Hideatsu Tsukahara
- Organizer
  Salzburg Workshop on Dependence Models & Copulas
- Place of Presentation
  ザルツブルク，オーストリア
- Year and Date
  2016-09-19
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15H03337
[Presentation] Evaluating Capital Allocation with Distortion Risk Measures2016
- Author(s)
  Hideatsu Tsukahara
- Organizer
  1st Seoul-Tokyo-Stanford workshop on "Financial Statistics and Risk Management"
- Place of Presentation
  ソウル，韓国
- Year and Date
  2016-04-01
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15H03337
[Presentation] The Empirical Beta Copula2016
- Author(s)
  Hideatsu Tsukahara
- Organizer
  4th Symposium on ``Financial Engineering and ERM''
- Place of Presentation
  一橋大学
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15H03337
[Presentation] Some Applications of Distortion Risk Measures2016
- Author(s)
  Hideatsu Tsukahara
- Organizer
  TMU Workshop on Financial Mathematics and Statistics
- Place of Presentation
  首都大学東京　秋葉原キャンパス
- Year and Date
  2016-11-29
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15H03337
[Presentation] The beta-smoothed empirical copula2015
- Author(s)
  Hideatsu Tsukahara
- Organizer
  International Workshop in Waseda University (IWIW2015) --- Recent Developments in Statistical Distribution Theory and its Applications
- Place of Presentation
  早稲田大学西早稲田キャンパス（東京都、新宿区）
- Year and Date
  2015-03-27
- Data Source
  KAKENHI-PROJECT-25245033
[Presentation] “The Empirical Beta Copula"2015
- Author(s)
  Hideatsu Tsukahara
- Organizer
  International Symposium on Dependence and Copulas 2015
- Place of Presentation
  University of London（England,London)
- Year and Date
  2015-12-12
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25245033
[Presentation] Evaluating capital allocation with distortion risk measures2015
- Author(s)
  Hideatsu Tsukahara
- Organizer
  6th CEQURA Conference on Advances in Financial and Insurance Risk Management
- Place of Presentation
  ミュンヘン，ドイツ
- Year and Date
  2015-10-01
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15H03337
[Presentation] The Empirical Beta Copula2015
- Author(s)
  Hideatsu Tsukahara
- Organizer
  Statistical Computing Asia 2015
- Place of Presentation
  台北，台湾
- Year and Date
  2015-07-01
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15H03337
[Presentation] The Empirical Beta Copula2015
- Author(s)
  Hideatsu Tsukahara
- Organizer
  8th International Conference on CFE-CMStatistics 2015
- Place of Presentation
  ロンドン，英国
- Year and Date
  2015-12-12
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15H03337
[Presentation] On Backtesting Risk Measurement Models2015
- Author(s)
  塚原英敦
- Organizer
  JARIPフォーラム2015
- Place of Presentation
  日本大学文理学部オーバルホール（東京都、世田谷区）
- Year and Date
  2015-03-30
- Data Source
  KAKENHI-PROJECT-25245033
[Presentation] The beta-smoothed empirical copula2015
- Author(s)
  Hideatsu Tsukahara
- Organizer
  International Workshop in Waseda University
- Place of Presentation
  早稲田大学西早稲田キャンパス
- Year and Date
  2015-03-27
- Data Source
  KAKENHI-PROJECT-24500347
[Presentation] On Backtesting Risk Measurement Models2015
- Author(s)
  塚原英敦
- Organizer
  JARIPフォーラム2015
- Place of Presentation
  日大文理学部世田谷キャンパス
- Year and Date
  2015-03-30
- Invited
- Data Source
  KAKENHI-PROJECT-24500347
[Presentation] Backtesting Distortion Risk Measures2013
- Author(s)
  塚原英敦
- Organizer
  2013年度中之島ワークショップ「金融工学・数理計量ファイナンスの諸問題 2013」
- Place of Presentation
  大阪大学中之島センター(大阪市)
- Data Source
  KAKENHI-PROJECT-25245033
[Presentation] Estimating and Backtesting Distortion Risk Measures2013
- Author(s)
  Hideatsu Tsukahara
- Organizer
  Conference "Stochastic processes & their statistics in Finance"
- Place of Presentation
  沖縄県青年会館(沖縄県)
- Invited
- Data Source
  KAKENHI-PROJECT-25245033
[Presentation] Smoothing out pseudo-observations for copula models2013
- Author(s)
  Hideatsu Tsukahara
- Organizer
  7th International Conference on Computational and Financial Econometrics (CFE-ERCIM 2013)
- Place of Presentation
  Senate House, University of London (U.K.)
- Data Source
  KAKENHI-PROJECT-25245033
[Presentation] Risk Management with Distortion Risk Measures2013
- Author(s)
  Hideatsu Tsukahara
- Organizer
  JAFEE-Columbia-ISM International Conference on Financial Mathematics, Engineering, and Statistics
- Place of Presentation
  統計数理研究所
- Invited
- Data Source
  KAKENHI-PROJECT-24500347
[Presentation] Estimating and Backtesting Distortion Risk Measures2013
- Author(s)
  Hideatsu Tsukahara
- Organizer
  The 2013 IMS-FPS Workshop
- Place of Presentation
  National University of Singapore (Singapore)
- Data Source
  KAKENHI-PROJECT-25245033
[Presentation] 接合関数（コピュラ）に関する最近の諸問題2012
- Author(s)
  塚原英敦
- Organizer
  研究集会「数理統計学の沃野」
- Place of Presentation
  慶応大矢上キャンパス
- Data Source
  KAKENHI-PROJECT-24500347
[Presentation] 歪みリスク尺度の推定とそれに基づくリスク管理の統計的方法2012
- Author(s)
  塚原英敦
- Organizer
  2012年度統計関連学会連合大会
- Place of Presentation
  北海道大学
- Data Source
  KAKENHI-PROJECT-24500347
[Presentation] Asymptotics and bias correction for L-statistics with dependent data and applications to risk measurement2012
- Author(s)
  Hideatsu Tsukahara
- Organizer
  The eighth World Congress in Probability and Statistics
- Place of Presentation
  Grand Cevahir Hotel, イスタンブール，トルコ
- Data Source
  KAKENHI-PROJECT-24500347
[Presentation] Asymptotics of L-statistics with dependent data and their applications to risk measure estimation2012
- Author(s)
  Hideatsu Tsukahara
- Organizer
  IMS Asia Pacific Rim Meetings
- Place of Presentation
  EPOCHAL TSUKUBA
- Data Source
  KAKENHI-PROJECT-24500347
[Presentation] Risk Management with Distortion Risk Measures2012
- Author(s)
  Hideatsu Tsukahara
- Organizer
  CEQURA Conference on Advances in Financial and Insurance Risk Management
- Place of Presentation
  Kardinal-Wendel-Haus, ミュンヘン，ドイツ
- Data Source
  KAKENHI-PROJECT-24500347
[Presentation] Statistical Application of Distortion Risk Measure2011
- Author(s)
  Hideatsu Tsukahara
- Organizer
  CEQURA Conference on Advances in Financial and Insurance Risk Management
- Place of Presentation
  ミュンヘン,ドイツ
- Year and Date
  2011-09-19
- Data Source
  KAKENHI-PROJECT-21500282
[Presentation] Estimation of Distortion Risk Measure2011
- Author(s)
  Hideatsu Tsukahara
- Organizer
  ISI World Statistics Congress
- Place of Presentation
  ダブリン,アイルランド
- Year and Date
  2011-08-24
- Data Source
  KAKENHI-PROJECT-21243019
[Presentation] Estimation of Distortion Risk Measure2011
- Author(s)
  Hideatsu Tsukahara
- Organizer
  ISI World Statistics Congress
- Place of Presentation
  ダブリン,アイルランド
- Year and Date
  2011-08-24
- Data Source
  KAKENHI-PROJECT-21500282
[Presentation] Statistical Application of Distortion Risk Measures2011
- Author(s)
  Hideatsu Tsukahara
- Organizer
  CEQURA Conference on Advances in Financial and Insurance Risk Management
- Place of Presentation
  ミュンヘン,ドイツ
- Year and Date
  2011-09-19
- Data Source
  KAKENHI-PROJECT-21500282
[Presentation] Statistical Application of Distortion Risk Measures2011
- Author(s)
  Hideatsu Tsukahara
- Organizer
  CEQURA Conference on Advances in Financial and Insurance Risk Management
- Place of Presentation
  ミュンヘン,ドイツ
- Year and Date
  2011-09-19
- Data Source
  KAKENHI-PROJECT-21243019
[Presentation] Applications of Distortion Risk Measures2010
- Author(s)
  Hideatsu Tsukahara
- Organizer
  Workshop on "Mathematical Finance and Related Issues"
- Place of Presentation
  京都リサーチパーク
- Year and Date
  2010-09-15
- Data Source
  KAKENHI-PROJECT-21500282
[Presentation] Estimation of Distortion Risk Measure2010
- Author(s)
  Hideatsu Tsukahara
- Organizer
  Quntitative Methods in Finance
- Place of Presentation
  シドニー,オーストラリア
- Year and Date
  2010-12-16
- Data Source
  KAKENHI-PROJECT-21500282
[Presentation] Comparative Analysis of VaR and Some Distortion Risk Measures2010
- Author(s)
  Hideatsu Tsukahara
- Organizer
  CEQURA Conference on Advances in Financial and Insurance Risk Management
- Place of Presentation
  ミュンヘン,ドイツ
- Year and Date
  2010-09-24
- Data Source
  KAKENHI-PROJECT-21500282
[Presentation] Applications of Distortion Risk Measures2010
- Author(s)
  Hideatsu Tsukahara
- Organizer
  Workshop on "Mathematical Finance and Related Issues"
- Place of Presentation
  京都
- Year and Date
  2010-09-15
- Data Source
  KAKENHI-PROJECT-21500282
[Presentation] Comparative Analysis of VaR and Some Distortion Risk Measures2010
- Author(s)
  Hideatsu Tsukahara
- Organizer
  Bachelier Finance Society World Congress
- Place of Presentation
  トロント,カナダ
- Year and Date
  2010-06-24
- Data Source
  KAKENHI-PROJECT-21500282
[Presentation] Comparative Analysis of VaR and Some Distortion Risk Measures2010
- Author(s)
  Hideatsu Tsukahara
- Organizer
  CEQURA conference on Advances in Financial and Insurance Risk Management
- Place of Presentation
  Kardinal Wendel Haus, Munich, Germany
- Year and Date
  2010-09-24
- Data Source
  KAKENHI-PROJECT-21500282
[Presentation] 歪みリスク尺度の応用2010
- Author(s)
  塚原英敦
- Organizer
  ファイナンス計量分析の新展開
- Place of Presentation
  東京大学経済学部
- Year and Date
  2010-03-30
- Data Source
  KAKENHI-PROJECT-21500282
[Presentation] 歪みリスク尺度の応用2010
- Author(s)
  塚原英敦
- Organizer
  研究集会「ファイナンス計量分析の新展開」
- Place of Presentation
  東京
- Year and Date
  2010-03-30
- Data Source
  KAKENHI-PROJECT-21500282
[Presentation] Comparative Analysis of VaR and Some Distortion Risk Measures2010
- Author(s)
  Hideatsu Tsukahara
- Organizer
  Bachelier Finance Society World Congress
- Place of Presentation
  Hilton Hotel Toronto, Canada
- Year and Date
  2010-06-24
- Data Source
  KAKENHI-PROJECT-21500282
[Presentation] Estimation of Distortion Risk Measures2010
- Author(s)
  Hideatsu Tsukahara
- Organizer
  Quantitative Methods in Finance
- Place of Presentation
  Hilton Hotel Sydney, Australia
- Year and Date
  2010-12-16
- Data Source
  KAKENHI-PROJECT-21500282
[Presentation] Estimation of Distortion Risk Measures2009
- Author(s)
  Hideatsu Tsukahara
- Organizer
  3rd International Conference on Computational and Financial Econometrics
- Place of Presentation
  リマソル,キプロス
- Year and Date
  2009-10-29
- Data Source
  KAKENHI-PROJECT-21500282
[Presentation] Estimation of Distortion Risk Measures2009
- Author(s)
  Hideatsu Tsukahara
- Organizer
  3^<rd> International Conference on Computational and Financial Econometrics
- Place of Presentation
  Grand Resort Hotel, Limassol, Cyprus
- Year and Date
  2009-10-29
- Data Source
  KAKENHI-PROJECT-21500282
[Presentation] Estimation of Distortion Risk Measures2008
- Author(s)
  塚原英敦
- Organizer
  Quantitative Methods in Finance Conference
- Place of Presentation
  アモラホテル・ジャミソン,シドニー
- Year and Date
  2008-12-17
- Data Source
  KAKENHI-PROJECT-18500217
[Presentation] Estimation of Distortion Risk Measures2008
- Author(s)
  塚原英敦
- Organizer
  Bachelier Finance Society World Congress
- Place of Presentation
  インペリアル・カレッジ,ロンドン
- Year and Date
  2008-07-18
- Data Source
  KAKENHI-PROJECT-18500217
[Presentation] Estimation of Distortion Risk Measures2008
- Author(s)
  塚原英敦
- Organizer
  立命館国際シンポジウム "確率過程論と数理ファイナンスへの応用"
- Place of Presentation
  キャンパスプラザ京都
- Year and Date
  2008-03-21
- Data Source
  KAKENHI-PROJECT-18500217
[Presentation] Estimation of Distortion Risk Measures2008
- Author(s)
  塚原英敦
- Organizer
  立命館国際シンポジウム"確率過程論と数理ファイナンスへの応用"
- Place of Presentation
  キャンパスプラザ京都
- Year and Date
  2008-03-21
- Data Source
  KAKENHI-PROJECT-18500217
[Presentation] コピュラ(接合分布関数)の統計学:最近の展開と展望2008
- Author(s)
  塚原英敦
- Organizer
  日本統計学会春季集会
- Place of Presentation
  成城大学
- Year and Date
  2008-03-01
- Data Source
  KAKENHI-PROJECT-18500217
[Presentation] Comparative Analysis of VaR and Some Distortion Risk Measures2008
- Author(s)
  塚原英敦
- Organizer
  中之島ワークショップ
- Place of Presentation
  大阪大学中之島センター
- Year and Date
  2008-12-07
- Data Source
  KAKENHI-PROJECT-18500217
[Presentation] リスク尺度:理論と応用2007
- Author(s)
  塚原英敦
- Organizer
  JAFEE第26回大会
- Place of Presentation
  法政大学ボアソナード・タワー
- Year and Date
  2007-01-24
- Data Source
  KAKENHI-PROJECT-18500217
[Presentation] Estimation of Risk Measures2007
- Author(s)
  塚原英敦
- Organizer
  JAFEE第27回大会
- Place of Presentation
  明治大学リバティタワー
- Year and Date
  2007-08-01
- Data Source
  KAKENHI-PROJECT-18500217
[Presentation] Estimation of Distortion Risk Measures2007
- Author(s)
  塚原英敦
- Organizer
  JAFEE2007夏季大会
- Place of Presentation
  明治大学リバティタワー
- Year and Date
  2007-08-01
- Data Source
  KAKENHI-PROJECT-18500217
[Presentation] One-parameter families of distortion risk measures2006
- Author(s)
  塚原英敦
- Organizer
  Bachelier Finance Society World Congress
- Place of Presentation
  学術総合センター
- Year and Date
  2006-08-17
- Data Source
  KAKENHI-PROJECT-18500217
[Presentation] リスク計測モデルのバックテスト法について
- Author(s)
  塚原英敦
- Organizer
  2014年度統計関連学会連合大会
- Place of Presentation
  東京大学本郷キャンパス
- Year and Date
  2014-09-14 – 2014-09-16
- Data Source
  KAKENHI-PROJECT-24500347
[Presentation] Estimating and Backtesting Distortion Risk Measures
- Author(s)
  Hideatsu Tsukahara
- Organizer
  8th World Congress of the Bachelier Finance Society
- Place of Presentation
  Brussels, Belgium
- Year and Date
  2014-06-02 – 2014-06-06
- Data Source
  KAKENHI-PROJECT-24500347
[Presentation] Backtesting Risk Measurement Models
- Author(s)
  Hideatsu Tsukahara
- Organizer
  5th CEQURA Conference on Advances in Financial and Insurance Risk Management
- Place of Presentation
  Munich, Germany
- Year and Date
  2014-10-01 – 2014-10-02
- Data Source
  KAKENHI-PROJECT-24500347
[Presentation] On Backtesting Risk Measurement Models
- Author(s)
  Hideatsu Tsukahara
- Organizer
  CFE-ERCIM (8th-Computational and Financial Econometrics, 7th-International Conference on Computational and Methodological Statistics)
- Place of Presentation
  University of Pisa, Pisa (Italy)
- Year and Date
  2014-12-06 – 2014-12-08
- Data Source
  KAKENHI-PROJECT-25245033
[Presentation] On Backtesting Risk Measurement Models
- Author(s)
  Hideatsu Tsukahara
- Organizer
  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II」
- Place of Presentation
  学術総合センター（東京都、千代田区）
- Year and Date
  2014-11-25 – 2014-11-26
- Data Source
  KAKENHI-PROJECT-25245033
[Presentation] On Backtesting Risk Measurement Models
- Author(s)
  Hideatsu Tsukahara
- Organizer
  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II」
- Place of Presentation
  学術総合センター
- Year and Date
  2014-11-26 – 2014-11-27
- Data Source
  KAKENHI-PROJECT-24500347
[Presentation] On Backtesting Risk Measurement Models
- Author(s)
  Hideatsu Tsukahara
- Organizer
  8th International Conference on Computational and Financial Econometrics
- Place of Presentation
  Pisa, Italy
- Year and Date
  2014-12-06 – 2014-12-08
- Data Source
  KAKENHI-PROJECT-24500347
[Presentation] リスク計測モデルのバックテスト法について
- Author(s)
  塚原英敦
- Organizer
  2014年度統計関連学会連合大会
- Place of Presentation
  東京大学本郷キャンパス（東京都、文京区）
- Year and Date
  2014-09-14 – 2014-09-16
- Data Source
  KAKENHI-PROJECT-25245033
[Presentation] On a resampling scheme for empirical copulas
- Author(s)
  Hideatsu Tsukahara
- Organizer
  Conference "Asymptotic Statistics and Related Topics: Theories and Methodologies"
- Place of Presentation
  東京大学山上会館（東京都文京区）
- Data Source
  KAKENHI-PROJECT-24500347
[Presentation] Estimating and Backtesting Distortion Risk Measures
- Author(s)
  Hideatsu Tsukahara
- Organizer
  Conference "Stochastic processes & their statistics in Finance"
- Place of Presentation
  沖縄県青年会館（沖縄県那覇市）
- Invited
- Data Source
  KAKENHI-PROJECT-24500347
[Presentation] Smoothing out pseudo-observations for copula models
- Author(s)
  Hideatsu Tsukahara
- Organizer
  7th International Conference on Computational and Financial Econometrics
- Place of Presentation
  Senate House, University of London, UK
- Data Source
  KAKENHI-PROJECT-24500347
[Presentation] Sampling from smoothed empirical copula
- Author(s)
  Hideatsu Tsukahara
- Organizer
  3rd Institute of Mathematical Statistics Asia Pacific Rim Meeting
- Place of Presentation
  Taipei, Taiwan
- Year and Date
  2014-06-29 – 2014-07-03
- Data Source
  KAKENHI-PROJECT-24500347
[Presentation] Estimating and Backtesting Distortion Risk Measures
- Author(s)
  Hideatsu Tsukahara
- Organizer
  8th World Congress of the Bachelier Finance Society
- Place of Presentation
  Brussels( Belgium)
- Year and Date
  2014-06-02 – 2014-06-06
- Data Source
  KAKENHI-PROJECT-25245033
[Presentation] Backtesting Risk Measurement Models
- Author(s)
  Hideatsu Tsukahara
- Organizer
  5th CEQURA Conference on Advances in Financial and Insurance Risk Management
- Place of Presentation
  Kardinal Wendel Haus, Munich (Germany)
- Year and Date
  2014-10-01 – 2014-10-02
- Data Source
  KAKENHI-PROJECT-25245033
[Presentation] Backtesting Distortion Risk Measures
- Author(s)
  塚原英敦
- Organizer
  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」
- Place of Presentation
  学術総合センター（東京都千代田区）
- Data Source
  KAKENHI-PROJECT-24500347
[Presentation] Sampling from smoothed empirical copula
- Author(s)
  Hideatsu Tsukahara
- Organizer
  3rd Institute of Mathematical Statistics Asia Pacific Rim Meeting
- Place of Presentation
  Howard International House, Taipei (Taiwan)
- Year and Date
  2014-06-29 – 2014-07-03
- Data Source
  KAKENHI-PROJECT-25245033
[Presentation] Estimating and Backtesting Distortion Risk Measures
- Author(s)
  Hideatsu Tsukahara
- Organizer
  The 2013 IMS-FPS Workshop
- Place of Presentation
  National University of Singapore, Singapore
- Data Source
  KAKENHI-PROJECT-24500347

1. KAWASAKI Yoshinori (70249910)

# of Collaborated Projects: 5 results

# of Collaborated Products: 0 results
2. KUNITOMO Naoto (10153313)

# of Collaborated Projects: 3 results

# of Collaborated Products: 0 results
3. 清水泰隆 (70423085)

# of Collaborated Projects: 3 results

# of Collaborated Products: 0 results
4. OYA Kosuke (20233281)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
5. 小池祐太 (80745290)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
6. OHTA Wataru (20293681)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
7. HAYASHI Takaki (80420826)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
8. NAKAGAWA Hidetoshi (30361760)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
9. KAMIYA Tazuya (50201439)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
10. YAJIMA Yoshihiro (70134814)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
11. YAMAMOTO Taku (50104716)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
12. SATO Seisho (60280525)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
13. 金子隆一 (30415814)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
14. 田中周二 (30451305)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
15. 沖本竜義 (70420304)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
16. 大森裕浩 (60251188)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
17. KUSUOKA Sigeo

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
18. ICHIBA Tomoyuki

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
19. SEGERS Johan

# of Collaborated Projects: 1 results

# of Collaborated Products: 1 results
20. MCNEIL Alex J.

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
21. EMBRECHTYS Paul

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
22. MITTNIK Stefan

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results

TSUKAHARA Hideatsu 塚原 英敦

Research Projects

Research Products

Co-Researchers

Innovative development of statistical and machine learning approach focusing on the evaluation of financial and actuarial riskPrincipal Investigator

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New developments of statistical methods for risk management in finance and insurancePrincipal Investigator

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Review Section

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A study of statistical methods in quantitative risk management, focusing on copulas and risk measuresPrincipal Investigator

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New Developments in Statistics of Economic Risk and Financial Risk

Principal Investigator

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Research on Statistical Modeling and Methods for Quantitative Risk ManagementPrincipal Investigator

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New Developments in Financial Econometrics and Financial Markets in Japan

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A Study of Mathematical Models for Risk MeasurementPrincipal Investigator

Principal Investigator

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Study of multivariate extreme value theory and dependence in quantitative financial risk analysisPrincipal Investigator

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コピュラ・モデルの統計的推測とファイナンスへの応用Principal Investigator

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信用リスクのモデリングとその統計的実証研究Principal Investigator

Principal Investigator

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Measuring Financial Risks

Principal Investigator

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[Book] 定量的リスク管理:基礎概念と数理技法2008

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[Book] 定量的リスク管理 : 基礎概念と数理技法2008

Author(s)

Total Pages

Publisher

Data Source

TSUKAHARA Hideatsu 塚原英敦