Masaru Tsuruta's HP
Masaru Tsuruta's HP
Profile
I am currently a full-time Lecturer in the Faculty of Commerce at Senshu University (since April 2025).
I earned a B.E. in Engineering from Tokyo Institute of Technology, and received both an MBA and a Ph.D. in Finance from the Graduate School of International Corporate Strategy at Hitotsubashi University.
My career began in asset management at an investment trust company, followed by experience in risk management and research at SBI Shinsei Bank.
Academic Research
My academic research focuses on the pricing the financial instruments related to sovereign credit risk—such as Sovereign CDS and Quanto CDS—using approaches from financial engineering and time-series analysis. I have developed pricing models to examine the interaction between sovereign CDS, government bond yields, and currency option markets, with particular attention to the European sovereign debt crisis.
Professional Experience
In practice, I have worked on a range of tasks in risk management related to asset-liability management (ALM), including:
Measuring interest rate risk across instruments such as government bonds, MBS, and deposits/loans;
Developing and implementing of core deposits model and prepayment models for mortgage loans;
Estimating lifetime profitability of mortgage products.
I have also built a profitability evaluation model for apartment loans by analyzing and modeling large-scale, long-term data from the rental real estate market.
Email: tsurutamasaru " at " gmail.com
My expertise lies in Quantitative Finance and Data Science.
I conduct data-driven analysis of financial and real estate markets based on financial theory and actively explore the application of machine learning techniques.
As part of my academic research, I have studied the pricing volatility of financial instruments related to sovereign credit risk—such as Sovereign CDS and Quanto CDS—by applying methods from financial engineering and time-series analysis.
Focusing in particular on the European sovereign debt crisis, I developed pricing models to analyze the relationship between sovereign CDS spreads, government bond yields, and currency option markets. Based on these models, I conducted empirical analysis using term structure data.
In my applied work, I have analyzed long-term data from the apartment rental market using machine learning and statistical methods. Some of the results were presented at conferences such as the Annual Meeting of the Japanese Society for Artificial Intelligence.
This research has also involved the use of GIS data and placed special emphasis on price fluctuations in the rental market during periods of inflation.
I have authored and co-authored several publications and books in the fields of finance, statistics, and machine learning.
Selected publications
“Decomposing the term structures of local currency sovereign bond yields and sovereign credit default swap spreads”, The North American Journal of Economics and Finance, Vol. 51, 101072, 2020.
“Interaction between Sovereign Quanto Credit Default Swap Spreads and Currency Options”, Journal of Risk and Financial Management, Vol. 17, Issue. 2, 85, 2024.
...among other works.
Member of the Examination Committee (Quantitative Analysis and Probability/Statistics), The Securities Analysts Association of Japan.
Certifications: Certified Member Analyst (CMA), Grade 1 Certified Statistician (Japan Statistical Society).