Research

Research areas

- Probability - Statistics
- Actuarial Science - Quantitative Risk Management

Specific topics

• Dependence modeling and copulas

• Dependence measures

• Variance reduction

• Extreme value theory

• Markov Chain Monte Carlo methods

• Risk measures

• Risk aggregation 

• Risk allocation

• Ambiguity and uncertainty

• Systemic risk 

Conference presentation

• "Forecasting and backtesting gradient allocations of expected shortfall” CFE-CMStatistics at University of London, 2024.12.

• “Measuring non-exchangeable tail dependence using tail copulas” 10th International Congress on Industrial and Applied Mathematics (ICIAM 2023), 2023.8.24.

• “Joint Mixability and Negative Orthant Dependence” 57th JAFEE (The Japanese Association of Financial Econometrics and Engineering) Summer Meeting, Seijo University, 2022.8.19-2022.8.20.

• “Simulation of completely mixable distributions and its application to variance reduction” 16th Japan Statistical Society Spring Meeting, online, 2022.3.5.

• “Tail concordance measures: A fair assessment of tail dependence”  ISI-ISM-ISSAS Joint Conference 2022, online, 2022.1.13-2022.1.15.

• “Tail concordance measures: A fair assessment of tail dependence”  Japanese Joint Statistical Meeting, online, 2021.9.5-2021.9.9.

• “Compatibility of matrices for correlation-based measures of concordance” CFE-CMStatistics at University of London, 2019.12.

• "Compatibility and attainability of matrices for correlation-based measures of concordance” Japanese Joint Statistical Meeting at Shiga University, 2019.9.

• “Computation of risk contributions with MCMC on VaR-fiber”, Japanese Joint Statistical Meeting, at Kanazawa University, 2016.9.

• “Rearrangement Algorithm in Financial Risk Assessment and its problems” (in Japanese),  Japan Statistical Meeting in Spring, at Tohoku University, 2016.3.

Other talks

• "Measuring non-exchangeable tail dependence using tail copulas” ASTIN-related Study Group in the Institute of Actuaries of Japan, 2024.12.20.

• "Measuring and testing tail equivalence” Economic Statistics Workshop at Hitotsubashi University, 2024.11.29.

• "Measuring and testing tail equivalence” Extreme Value Theory and Applications at the Institute of Statistical Mathematics , 2024.8.8--2024.8.9.

• "Forecasting and backtesting gradient allocations of Expected Shortfall" Seminar at the department of Statistics and Actuarial Science, the University of Hong Kong, 2024.05.22.

• “Backtesting risk functionals” The Japanese Association of Risk, Insurance and Pensions (JARIP),  Waseda University, 2023.11.27.

• “Extremal negative dependence and its applications to financial risk management” Quantitative Finance Seminar at the department of Administration Engineering, faculty of Science and Technology, Keio University, 2023.11.2.

• “Forecasting Gradient Allocations of Expected Shortfall” Economic Statistics Workshop at Hitotsubashi University, 2023.10.20.

• “Forecasting Gradient Allocations of Expected Shortfall” Advances in Copula Theory at the Institute of Statistical Mathematics, 2023.9.14-2023.9.15.

• “Measuring non-exchangeable tail dependence using tail copulas” ASTIN Webinar, 2023.8.15.

• “Measuring non-exchangeable tail dependence using tail copulas” Economic Statistics Workshop at Hitotsubashi University, 2022.12.16.

• “Joint mixability and negative orthant dependence” Academic Speech at Department of Statistics, Feng Chia University, 2022.11.16.

• Measuring non-exchangeable tail dependence using tail copulas” Academic Speech at Department of Statistics, Feng Chia University, 2022.11.16.

• “Joint mixability and negative orthant dependence” Advances in Copula Theory at the Institute of Statistical Mathematics, 2022.9.16-2022.9.17.

• “Tail probability assessment based on copulas” Statistical Mathematics Seminar at the Institute of Statistical Mathematics, 2022.1.12.

• “Measuring asymmetric tail dependence using tail copulas” Extreme Value Theory and Applications, 2021.8.16-2021.8.26.

• “Tail concordance measures: A fair assessment of tail dependence” Wednesday seminar at Keio University, 2021.4.21.

• “Tail concordance measures: A fair assessment of tail dependence” Weekly seminars on Risk Management and Actuarial Science at University of Waterloo, 2021.4.7.

• “Beyond the tail dependence coefficients” Joint webinar by the Institute of Actuaries of Japan (IAJ) and the Japanese Association of Risk, Insurance and Pensions (JARIP), 2021.2.13

• "Estimation and Comparison of Correlation-based Measures of Concordance" Weekly seminars on Risk Management and Actuarial Science at University of Waterloo, 2020.7.16.

• “Compatibility of matrices for correlation-based measures of concordance” Wednesday seminar at Keio University, 2019.5.

• “Compatibility of matrices for correlation-based measures of concordance” 3rd SAS/WatRISQ Research Presentation Day at University of Waterloo, 2019.2.

• “Efficient computation of risk contributions by using MCMC” Keio Symposium on Risk Assessment, at Keio University, 2016.9.

• “Efficient computation of risk contributions by using MCMC” Boston University/Keio University workshop, at Boston University, 2016.8.

Presentations slides are available upon request.