Welcome to Takaaki Koike's Homepage
Takaaki Koike, PhD
Takaaki Koike, PhD
Assistant Professor
Graduate School of Economics
Assistant Professor
Graduate School of Economics
Hitotsubashi University
Hitotsubashi University
This site was last updated on March 3rd, 2024
Research areas
Research areas
- Probability - Statistics
- Actuarial Science - Quantitative Risk Management
See Research for more specific topics.
- Probability - Statistics
- Actuarial Science - Quantitative Risk Management
See Research for more specific topics.
Research Support
Research Support
- Grant-in-Aid for Early-Career Scientists (2021~2024), Japan Society for the Promotion of Science (JSPS, KAKENHI), Grant number: JP21K13275
- Grant-in-Aid for Early-Career Scientists (2021~2024), Japan Society for the Promotion of Science (JSPS, KAKENHI), Grant number: JP21K13275
Affiliated member
Affiliated member
- Visiting Assistant Professor, Faculty of Science and Technology, Keio University (2020.12.01 - present)
- Visiting Research Fellow, Risk Analysis Research Center, The Institute of Statistical Mathematics (2022.04.01 - 2024.03.31)
- Visiting Assistant Professor, Faculty of Science and Technology, Keio University (2020.12.01 - present)
- Visiting Research Fellow, Risk Analysis Research Center, The Institute of Statistical Mathematics (2022.04.01 - 2024.03.31)
- Visiting Assistant Professor, Risk Analysis Research Center, The Institute of Statistical Mathematics (2024.04.01 - present)
- Visiting Assistant Professor, Risk Analysis Research Center, The Institute of Statistical Mathematics (2024.04.01 - present)
Contact
Contact
Graduate School of Economics
Hitotsubashi University
2-1, Naka, Kunitachi, Tokyo 186-8601, Japan
Graduate School of Economics
Hitotsubashi University
2-1, Naka, Kunitachi, Tokyo 186-8601, Japan
Office: Faculty Building 2, Room 213
Tel: +8142-580-8588
Email: takaaki (dot) koike (at) r.hit-u.ac.jp
Office: Faculty Building 2, Room 213
Tel: +8142-580-8588
Email: takaaki (dot) koike (at) r.hit-u.ac.jp
Publications
Publications
- Chen, C.W.S., Koike, T. and Shau, W.H. (2024) Tail risk forecasting with semi-parametric regression models by incorporating overnight information. Accepted by Journal of Forecasting.
- Koike, T., Lin, L., and Wang, R. (2024). Joint mixability and notions of negative dependence. Accepted by Mathematics of Operations Research.
- Yoshiba, T., Koike, T. and Kato, S. (2023). On a Measure of Tail Asymmetry for the Bivariate Skew-Normal Copula. Symmetry, 15(7), 1410. Available at URL.
- Koike, T., Kato, S., and Hofert, M. (2023). Measuring non-exchangeable tail dependence using tail copulas. ASTIN Bulletin: The Journal of the IAA. 53(2), pp. 466-487.
- Koike, T., and Hofert, M. (2023). Comparison of correlation-based measures of concordance in terms of asymptotic variance. Accepted by Journal of Multivariate Analysis.
- Koike, T., and Hofert, M. (2023). Matrix compatibility and correlation mixture representation of generalized Gini's gamma. Canadian Journal of Statistics. 51(4),1111-1125.
- Koike, T., Saporito, Y., and Targino, R. (2022). Avoiding zero probability events when computing Value at Risk contributions. Insurance: Mathematics and Economics, 106, 173-192. URL
- Koike, T., and Hofert, M. (2021). Modality for scenario analysis and maximum likelihood allocation. Insurance: Mathematics and Economics, 97, 24-43. URL
- Koike, T., and Hofert, M. (2020). Markov Chain Monte Carlo methods for estimating systemic risk Allocations. Risks, 8(1), 6; https://doi.org/10.3390/risks8010006. URL
- Hofert, M., and Koike, T. (2019). Compatibiity and attainability of matrices of correlation-based measures of concordance. ASTIN Bulletin: The Journal of the IAA, 49(3): 885-918. URL
- Koike, T., and Minami, M. (2019). Estimation of risk contributions with MCMC. Quantitative Finance, 19(9), 1579-1597. URL
- Koike, T., Minami, M. and Shiraishi, H. (2016). Calculation of value-at-risk bounds using rearrangement algorithm. (in Japanese), Japanese Journal of the Japan Statistical Society, 45(2), 353-375. URL
Other Publications and Manuscripts
Other Publications and Manuscripts
- Koike, T. (2022). Discussion of tail dependence measures using tail copulas. The Institute of Statistical Mathematics Cooperative Research Report 454, Extreme Value Theory and Applications (19). URL
- Koike, T. (2020). Risk Analysis: Measures of concordance, their compatibility and capital allocation (Doctoral thesis). URL