Pre-publication Manuscripts

• Koike, T., Chen, C.W.S. and Edward, M.H.L. (2024). Forecasting and Backtesting Gradient Allocations of Expected Shortfall. Available at arXiv.

• Koike, T., Lin, L., and Wang, R. (2023). Invariant correlation under marginal transforms. Available at arXiv.

Refereed Journal Articles

• 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). Compatibility and attainability of matrices of correlation-based measures of concordance. ASTIN Bulletin: The Journal of the IAA  49(3): 885-918.
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• 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), 日本統計学会誌 (Journal of the Japan Statistical Society), 45(2), 353-375. URL

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