Koike Takaaki 小池孝明

Researcher Number	80898742
Other IDs
Affiliation (Current)	2025: 一橋大学, 大学院経済学研究科, 准教授
Affiliation (based on the past Project Information) *help	2022 – 2024: 一橋大学, 大学院経済学研究科, 講師 2021: 統計数理研究所, リスク解析戦略研究センター, 特任助教
Review Section/Research Field	Principal Investigator Basic Section 07030:Economic statistics-related Except Principal Investigator 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
Keywords	Principal Investigator 資本分配 / 定量的リスク管理 / 相関係数 / バックテスト / Value-at-Risk / 期待ショートフォール / 従属性尺度 / 接合関数 / 多変量解析 / 従属性 / 裾従属性 … More Except Principal Investigator … More リスク管理 / 裾従属性 / 接合関数 / 金融ストレス / 従属構造 Less

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
Capital allocation and dependence modeling in risk managementPrincipal Investigator
- Principal Investigator
  
  小池孝明
- Project Period (FY)
  2021 – 2024
- Research Category
  
  Grant-in-Aid for Early-Career Scientists
- Review Section
  
  Basic Section 07030:Economic statistics-related
- Research Institution
  Hitotsubashi University
  The Institute of Statistical Mathematics

All 2024 2023 2022 2021

All Journal Article Presentation

[Journal Article] Joint Mixability and Notions of Negative Dependence2024
- Author(s)
  Koike Takaaki、Lin Liyuan、Wang Ruodu
- Journal Title
  
  Mathematics of Operations Research
  
  Volume: - Issue: 4 Pages: 2786-2802
- DOI
  10.1287/moor.2022.0121
- Peer Reviewed / Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-21K13275
[Journal Article] Tail risk forecasting with semiparametric regression models by incorporating overnight information2024
- Author(s)
  Chen Cathy W. S.、Koike Takaaki、Shau Wei‐Hsuan
- Journal Title
  
  Journal of Forecasting
  
  Volume: - Issue: 5 Pages: 1492-1512
- DOI
  10.1002/for.3090
- Peer Reviewed / Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-21K13275
[Journal Article] On a Measure of Tail Asymmetry for the Bivariate Skew-Normal Copula2023
- Author(s)
  Yoshiba Toshinao、Koike Takaaki、Kato Shogo
- Journal Title
  
  Symmetry
  
  Volume: 15 Issue: 7 Pages: 1410-1410
- DOI
  10.3390/sym15071410
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-21K13275, KAKENHI-PROJECT-21K01581, KAKENHI-PROJECT-20K03759
[Journal Article] Matrix compatibility and correlation mixture representation of generalized Gini's gamma2023
- Author(s)
  Koike Takaaki、Hofert Marius
- Journal Title
  
  Canadian Journal of Statistics
  
  Volume: 51 Issue: 4 Pages: 1111-1125
- DOI
  10.1002/cjs.11748
- Peer Reviewed / Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-21K13275
[Journal Article] Estimation and comparison of correlation-based measures of concordance2023
- Author(s)
  Koike Takaaki、Hofert Marius
- Journal Title
  
  Journal of Multivariate Analysis
  
  Volume: -
- Peer Reviewed / Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-21K13275
[Journal Article] Measuring non-exchangeable tail dependence using tail copulas2023
- Author(s)
  Takaaki Koike, Shogo Kato and Marius Hofert
- Journal Title
  
  ASTIN Bulletin: The Journal of the IAA
  
  Volume: 53 Issue: 2 Pages: 466-487
- DOI
  10.1017/asb.2023.4
- Peer Reviewed / Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20K03759, KAKENHI-PROJECT-21K13275
[Journal Article] Discussion of tail dependence measures using tail copulas2022
- Author(s)
  Takaaki Koike
- Journal Title
  
  The Institute of Statistical Mathematics Cooperative Research Report 454, Extreme Value Theory and Applications
  
  Volume: 19 Pages: 11-16
- Open Access
- Data Source
  KAKENHI-PROJECT-21K13275
[Journal Article] Avoiding zero probability events when computing Value at Risk contributions2022
- Author(s)
  Koike Takaaki、Saporito Yuri、Targino Rodrigo
- Journal Title
  
  Insurance: Mathematics and Economics
  
  Volume: 106 Pages: 173-192
- DOI
  10.1016/j.insmatheco.2022.06.004
- Peer Reviewed / Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-21K13275
[Journal Article] Joint mixability and negative orthant dependence2022
- Author(s)
  Koike Takaaki、Liyuan Lin、Ruodu Wang
- Journal Title
  
  arXiv
  
  Volume: - Pages: 1-40
- Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-21K13275
[Journal Article] Matrix compatibility and correlation mixture representation of generalized Gini's gamma2021
- Author(s)
  Koike Takaaki, Hofert Marius
- Journal Title
  
  arXiv
  
  Volume: arXiv:2011.09053 Pages: 1-15
- Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-21K13275
[Journal Article] Avoiding zero probability events when computing Value at Risk contributions2021
- Author(s)
  Koike Takaaki, Saporito F. Yuri, Targino S. Rodrigo
- Journal Title
  
  arXiv
  
  Volume: arXiv:2004.13235 Pages: 1-17
- Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-21K13275
[Journal Article] Measuring non-exchangeable tail dependence using tail copulas2021
- Author(s)
  Koike Takaaki, Kato Shogo, Hofert Marius
- Journal Title
  
  arXiv
  
  Volume: arXiv:2101.12262 Pages: 1-26
- Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-21K13275
[Presentation] Backtesting risk functionals2023
- Author(s)
  小池孝明
- Organizer
  JARIP研究会，日本保険・年金リスク学会（JARIP）
- Invited
- Data Source
  KAKENHI-PROJECT-21K13275
[Presentation] Measuring non-exchangeable tail dependence using tail copulas2023
- Author(s)
  Takaaki Koike
- Organizer
  ASTIN Webinar
- Invited
- Data Source
  KAKENHI-PROJECT-21K13275
[Presentation] Forecasting Gradient Allocations of Expected Shortfall2023
- Author(s)
  小池孝明
- Organizer
  接合関数（コピュラ）理論の新展開
- Invited
- Data Source
  KAKENHI-PROJECT-21K13275
[Presentation] Extremal negative dependence and its applications to financial risk management2023
- Author(s)
  小池孝明
- Organizer
  Quantitative Finance Seminar at the department of Administration Engineering, faculty of Science and Technology, Keio University
- Invited
- Data Source
  KAKENHI-PROJECT-21K13275
[Presentation] Measuring non-exchangeable tail dependence using tail copulas2023
- Author(s)
  Takaaki Koike
- Organizer
  10th International Congress on Industrial and Applied Mathematics (ICIAM 2023)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-21K13275
[Presentation] Forecasting Gradient Allocations of Expected Shortfall2023
- Author(s)
  小池孝明
- Organizer
  一橋大学経済統計ワークショップ
- Data Source
  KAKENHI-PROJECT-21K13275
[Presentation] Joint Mixability and Negative Orthant Dependence2022
- Author(s)
  Takaaki Koike
- Organizer
  57th JAFEE Summer Meeting
- Data Source
  KAKENHI-PROJECT-21K13275
[Presentation] Measuring non-exchangeable tail dependence using tail copulas2022
- Author(s)
  Takaaki Koike
- Organizer
  Academic Speech at Department of Statistics, Feng Chia University
- Data Source
  KAKENHI-PROJECT-21K13275
[Presentation] Measuring non-exchangeable tail dependence using tail copulas2022
- Author(s)
  Takaaki Koike
- Organizer
  Economic Statistics Workshop at Hitotsubashi University
- Data Source
  KAKENHI-PROJECT-21K13275
[Presentation] Joint mixability and negative orthant dependence2022
- Author(s)
  Takaaki Koike
- Organizer
  Academic Speech at Department of Statistics, Feng Chia University
- Data Source
  KAKENHI-PROJECT-21K13275
[Presentation] コピュラを用いた裾確率の評価2022
- Author(s)
  Takaaki Koike
- Organizer
  統計数理セミナー
- Data Source
  KAKENHI-PROJECT-21K13275
[Presentation] Tail concordance measures: A fair assessment of tail dependence2022
- Author(s)
  Takaaki Koike
- Organizer
  ISI-ISM-ISSAS Joint Conference
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-21K13275
[Presentation] Joint mixability and negative orthant dependence2022
- Author(s)
  Takaaki Koike
- Organizer
  Advances in Copula Theory at the Institute of Statistical Mathematics
- Invited
- Data Source
  KAKENHI-PROJECT-21K13275
[Presentation] Simulation of completely mixable distributions and its application to variance reduction2022
- Author(s)
  Takaaki Koike
- Organizer
  第16回日本統計学会春季集会
- Data Source
  KAKENHI-PROJECT-21K13275
[Presentation] Measuring asymmetric tail dependence using tail copulas2021
- Author(s)
  Takaaki Koike
- Organizer
  極値理論の工学への応用
- Data Source
  KAKENHI-PROJECT-21K13275
[Presentation] Tail concordance measures: A fair assessment of tail dependence2021
- Author(s)
  Takaaki Koike
- Organizer
  2021年度統計関連学会連合大会
- Invited
- Data Source
  KAKENHI-PROJECT-21K13275
[Presentation] Tail concordance measures: A fair assessment of tail dependence2021
- Author(s)
  Takaaki Koike
- Organizer
  水曜セミナー　慶應義塾大学理工学部数理科学科統計関連研究室
- Data Source
  KAKENHI-PROJECT-21K13275
[Presentation] Tail concordance measures: A fair assessment of tail dependence2021
- Author(s)
  Takaaki Koike
- Organizer
  Weekly seminars on Risk Management and Actuarial Science at University of Waterloo
- Data Source
  KAKENHI-PROJECT-21K13275

1. 吉羽要直 (20848428)

# of Collaborated Projects: 1 results

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

# of Collaborated Projects: 1 results

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

# of Collaborated Projects: 1 results

# of Collaborated Products: 1 results
4. 室町幸雄 (70514719)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results

Koike Takaaki 小池 孝明

Research Projects

Research Products

Co-Researchers

Modeling and analysis of dependency structures under financial stress

Principal Investigator

Project Period (FY)

Research Category

Review Section

Research Institution

Capital allocation and dependence modeling in risk managementPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Review Section

Research Institution

[Journal Article] Joint Mixability and Notions of Negative Dependence2024

Author(s)

Journal Title

DOI

Data Source

[Journal Article] Tail risk forecasting with semiparametric regression models by incorporating overnight information2024

Author(s)

Journal Title

DOI

Data Source

[Journal Article] On a Measure of Tail Asymmetry for the Bivariate Skew-Normal Copula2023

Author(s)

Journal Title

DOI

Data Source

[Journal Article] Matrix compatibility and correlation mixture representation of generalized Gini's gamma2023

Author(s)

Journal Title

DOI

Data Source

[Journal Article] Estimation and comparison of correlation-based measures of concordance2023

Author(s)

Journal Title

Data Source

[Journal Article] Measuring non-exchangeable tail dependence using tail copulas2023

Author(s)

Journal Title

DOI

Data Source

[Journal Article] Discussion of tail dependence measures using tail copulas2022

Author(s)

Journal Title

Data Source

[Journal Article] Avoiding zero probability events when computing Value at Risk contributions2022

Author(s)

Journal Title

DOI

Data Source

[Journal Article] Joint mixability and negative orthant dependence2022

Author(s)

Journal Title

Data Source

[Journal Article] Matrix compatibility and correlation mixture representation of generalized Gini's gamma2021

Author(s)

Journal Title

Data Source

[Journal Article] Avoiding zero probability events when computing Value at Risk contributions2021

Author(s)

Journal Title

Data Source

[Journal Article] Measuring non-exchangeable tail dependence using tail copulas2021

Author(s)

Journal Title

Data Source

[Presentation] Backtesting risk functionals2023

Author(s)

Organizer

Data Source

[Presentation] Measuring non-exchangeable tail dependence using tail copulas2023

Author(s)

Organizer

Data Source

[Presentation] Forecasting Gradient Allocations of Expected Shortfall2023

Author(s)

Koike Takaaki 小池孝明