Faculty Database - Inui Kouji

Books and Papers

Conference Presentations

Academic Qualifications

Career History

Internal Committee Positions

Major Subjects

Research Topics, Consignment Studies & KAKENHI Researches

Current Specialized Field

（Last updated : 2023-10-30 10:42:31）

Inui Kouji
Department Undergraduate School , School of Interdisciplinary Mathematical Sciences

Position Professor

■ Books and Papers

1.	2022/01	Article	Best Security Measures to Reduce Cyber-Incident and Data Breach Risks Data Privacy Management, Cryptocurrencies and Blockchain Technology (Collaboration)
2.	2020/12	Article	Evaluation on Cyber Incident Risk Reduced by Security Management pp.1781-1791 (Collaboration)
3.	2019/09	Article	Proposal on a Mathematical Model to Estimate Loss of Leakage of Personal Data pp.1528-1537 (Collaboration)
4.	2019/02	Article	Mathematical model to estimate loss by cyber incident in Japan ICISSP 2019 - Proceedings of the 5th International Conference on Information Systems Security and Privacy pp.353-360 (Collaboration)
5.	2014/09	Article	Does High-Speed Trading Enhance Market Efficiency? Empirical Analysis on "Arrowhead" of Tokyo Stock Exchange Journal of Trading 9(4),pp.75-81 (Collaboration)
6.	2014/03	Book	Financial Enterprise Risk Management pp.「個別リスクの計量化」264-326 (Collaboration)
7.	2013/03	Article	Impact on market liquidity in terms of increase in the speed of trading -Tick data analysis on Nikkei 225 index basket and future trading - (Collaboration)
8.	2012/11	Article	Behavior of liquidity premium in Japanese corporate bonds and CDS under the financial crisis and reasoning by decomposition analysis pp.225-242 (Single)
9.	2012/03	Article	Serious illiquidity problems in Japanese CDS and corporate bond markets under financial crisis MBS Review pp.15-18 (Single)
10.	2011/08	Article	Market-consistent valuation of insurance liabilities with special emphasis on illiquidity risk premium and insurance ALM in Japanese context Asia-Pacific Risk and Insurance Association Annual Conference (Collaboration)
11.	2011/03	Article	Decomposition Analysisi of Equity Risk Premium Estimated Impliedly by Residual Incom Valuation Model Memoris of Institute of Social Sciences, Meiji University pp.83-100 (Single)
12.	2011/03	Article	Re-evaluation of LDI strategy considering liability inherent risk and term structure risk pp.43-64 (Single)
13.	2008/10	Article	A study on residual income valuation model for cost of equity capital estimation pp.47-64 (Single)
14.	2005/03	Article	VaR si subject to a significant positive bias Statistics & Probability Letters 72,pp.299-311 (Collaboration)
15.	2005/01	Article	On the significance of expected shortfall as a coherent risk measure Journal of Banking & Finance 29,pp.853-864 (Collaboration)
16.	2003/12	Article	Impact of the Euro on Global Fixed Income Portfolios The Journal of Investing 12(4),pp.54-61 (Collaboration)
17.	1998/09	Article	Markovian Framework in Multi-Factor Heath-Jarrow-Morton Models Journal of Financial and Quantitative 33(3),pp.423-440 (Collaboration)
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■ Conference Presentations

1.	2019/02/19	Mathematical Model to Estimate Loss by Cyber Incident in Japan (ICISSP 2019 - 5th International Conference on Information Systems Security and Privacy)
2.	2014/03/21	On efficiency of the Tokyo Stock Exchange after "Arrowhead" launched from the perspective of Nikkei 225 index transactions (7th Financial Risks International Forum)
3.	2013/06/07	The specificity of the Japanese credit market --Based on decomposition analysis for yield spread/CDS premium around the financial crisis -- (3rd International Conference of the Financial Engineering and Banking Society)
4.	2012/02/13	Market-consistent valuation of insurance liabilities with special emphasis on illiquidity risk premium and insurance ALM in Japanese context (ファイナンス理論の新展開と金融リスク管理)
5.	2011/11/05	Market-consistent valuation of insurance liabilities with special emphasis on illiquidity risk premium and insurance ALM in Japanese context (日本保険・年金リスク学会第９回大会)
6.	2011/08/03	Market-consistent valuation of insurance liabilities with special emphasis on illiquidity risk premium and insurance ALM in Japanese context (Asia-Pacific Risk and Insurance Association Annual Conference)
7.	2007/07/08	Parsimonious residual income model with expected ROE term structure (EURO XXII) (22nd European Conference on Operational Research, Prage, Czech)
8.	2005/07/15	On the significance of currency VaR estimation with regime switching models (IFORS 2005, Hawaii USA)
9.	2005/02/07	(Ffirst Sapporo Workshop on Fincial Engineering and Its Applications)
10.	2004/07/07	An application of regime switching model to currency trading strategies (20th European Conference on Operational Research, Rodos Greece)
11.	2003/12/18	On the Significance of Expected Shortfall as a Coherent Risk (Australasian Finance and Banking Conference, Sydney)
12.	2003/12/12	VaR is subject to a significant positive bias (Quantitative Methods in Finance 2003)
13.	1995/09/07	Modeling Japanese Financial Markets for Pension ALM simulation (5th AFIR International Colloquium)
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■ Academic Qualifications

1.	2011/03/25 Degree Acquisition	Meiji University, Doctor of Science
2.	～2000/03	〔Doctorial Course〕, Graduate School, Division of Mathematical Sciences, The University of Tokyo, Accomplished credits for doctoral program,
3.	～1997/03	〔Master Course〕, Graduate School, Division of Policy Science, University of Tsukuba, Completed,
4.	1997/03 Degree Acquisition	University of Tsukuba,
5.	～1987/03	Faculty of Engineering, Tokyo Institute of Technology, Graduated,

■ Career History

2013/04～

Professor

■ Internal Committee Positions

2014/04/01～2016/03/31

Deputy Director, Research Planning and Promotion Headquarters

■ Research Topics, Consignment Studies & KAKENHI Researches

1.	2010～2012	Research on the causal relationship between investment behavior and stock price fluctuation by risk premium decomposition analysis (Key Word : Finance, Market Micro Structure)
2.	2005～2007	Fare valuation of life insurance liabilities under incomplete market setting (Key Word : life insurance,,)
3.	2004～2006	On valuation methods for intangible assets (Key Word : real option,incomplete,)

■ Current Specialized Field

Statistical science, Economic statistics, Public economics and labor economics