Yukio Muromachi - My portal

Profile Information

Affiliation: 大学院・経営学研究科, 東京都立大学

Degree: Ph.D

J-GLOBAL ID: 201501022058524190
researchmap Member ID: B000243917

External link: https://kaken.nii.ac.jp/d/r/70514719.ja.html

Research Interests

Research Areas

Humanities & social sciences / Money and finance / Financial Engineering
Social infrastructure (civil Engineering, architecture, disaster prevention) / Safety engineering /
Social infrastructure (civil Engineering, architecture, disaster prevention) / Social systems engineering /

Research History

Apr, 2020 - Present

Professor, Graduate School of Management, Tokyo Metropolitan University
Apr, 2018 - Mar, 2020

Professor, Graduate School of Management, Tokyo Metropolitan University
Apr, 2012 - Mar, 2017

Tokyo Metropolitan University

Education

Apr, 2002 - Mar, 2005

Graduate School of Economics, Kyoto University
Apr, 1986 - Mar, 1991

Department of Geophysics, Graduate School of Science, The University of Tokyo
Apr, 1982 - Mar, 1986

Department of Geophysics, School of Science, The University of Tokyo

Papers

EVALUATION OF INTEREST RATE RISK OF A PORTFOLIO BY A STOCHASTIC INTEREST RATE MODEL WITH A RESIME SWITCHING PROPERTY AND ITS APPLICATION TO NON-MATURITY DEPOSITS

Yukio Muromachi

Transactions of the Operations Research Society of Japan, 64 46-70, Apr, 2021 Peer-reviewedCorresponding author
コピュラを用いたCDO価格付けモデルのリスク計測モデルへの拡張

室町幸雄

統計数理, 68(1) 107-127, Jun, 2020 Peer-reviewedInvitedCorresponding author
金利のレジーム遷移を考慮したコア預金モデル－コア預金のマチュリティー・ラダーの構築－

室町幸雄

首都大学東京大学院経営学研究科 Research Paper Series, 6 1-39, Feb, 2019 Corresponding author
Pricing Residential Mortgage-Backed Securities Based on the Long-term Stochastic Behaviors of Interest Rates and Prepayment Rates

Wenfeng Huang, Norio Kishida, Yukio Muromachi

JARIP Journal, 8(1) 1-30, 2017 Peer-reviewedCorresponding author
Improved estimation methods for value-at-risk, expected shortfall and risk contributions with high precision

Yukio Muromachi

JOURNAL OF RISK, 17(6) 1-27, 2015 Peer-reviewedCorresponding author
On the risk evaluation method based on the market model

Masaaki Kijima, Yukio Muromachi

Nonlinear Economic Dynamics and Financial Modelling: Essays in Honour of Carl Chiarella, 253-273, May 1, 2014 Peer-reviewed
Pricing Energy Derivatives with Counterparty Credit Risk

Hidekazu Sakamoto, Yukio Muromachi

Transactions of the Japan Society for Industrial and Applied Mathematics, 23(4) 563-584, Dec, 2013 Peer-reviewedCorresponding author
Pricing Residential Mortgage-Backed Securities with the term structure and the interest-rate sensitivity of prepayment risk

Norio Kishida, Yasutoshi Takayama, Yukio Muromachi

Transactions of the Operations Research Society of Japan, 56 53-75, Dec, 2013 Peer-reviewedCorresponding author
An extension of the Wang transform derived from Buhlmann's economic premium principle for insurance risk

Masaaki Kijima, Yukio Muromachi

INSURANCE MATHEMATICS & ECONOMICS, 42(3) 887-896, Jun, 2008 Peer-reviewed
A conditional independence approach for portfolio risk evaluation

Yukio Muromachi

Journal of Risk, 7(1) 27-53, 2004 Peer-reviewedCorresponding author
Modeling Insurance liability in Balance-Sheet type ALM for a Life Insurance Company

Shuji Tanaka, Yukio Muromachi

56(56) 57-107, 2003 Peer-reviewed
Pricing equity swaps in a stochastic interest rate economy

Masaaki Kijima, Yukio Muromachi

Journal of Derivatives, 8(4) 19-35, 2001 Peer-reviewed
Credit events and the valuation of credit derivatives of basket type

Masaaki Kijima, Yukio Muromachi

Review of Derivatives Research, 4(1) 55-79, 2000 Peer-reviewed
Evaluation of credit risk of a portfolio with stochastic interest rate and default processes

Masaaki Kijima, Yukio Muromachi

Journal of Risk, 3(1) 5-36, 2000 Peer-reviewed

Misc.

On pricing interest-rate derivatives and interest-rate environments after LIBOR fallback, from the standpoint of multi-curve framework

Ryuji Tanaka, Yukio Muromachi

Securities Analysts Journal, 58(12) 16-26, Dec, 2020 InvitedCorresponding author
A proposal of a stochastic interest rate model for evaluating financial risks

Communications of the Operations Research Society of Japan, 65(7) 359-366, Jul, 2020 InvitedCorresponding author
第63回シンポジウムルポ(情報の窓)

室町幸雄

オペレーションズ・リサーチ : 経営の科学, 55(8) 493-495, Aug 1, 2010
信用リスクモデル(OR事典Wiki)

室町幸雄

オペレーションズ・リサーチ : 経営の科学, 55(5) 308-309, May 1, 2010
金融危機概説(世界金融危機からの復活)

室町幸雄

シンポジウム, (63) 1-5, Mar 3, 2010
証券化商品とサブプライムローン問題(<特集>サブプライムローン問題)

室町幸雄

オペレーションズ・リサーチ : 経営の科学, 54(10) 619-624, Oct 1, 2009
市場リスクと信用リスクの統合

室町幸雄

オペレーションズ・リサーチ : 経営の科学 = [O]perations research as a management science [r]esearch, 46(11) 622-627, Nov 1, 2001
Pricing of equity swaps in a stochastic interest rate economy

KIJIMA Masaaki, MUROMACHI Yukio

2000 36-37, Sep 27, 2000

Books and Other Publications

証券事典

室町幸雄 (Role: Contributor, 第3編第1章 [4] 6．証券化商品の評価)

証券経済学会公益財団法人日本証券経済研究所, Jun, 2017
Recent Advances in Financial Engineering 2014

Masaaki Kijima, Yukio Muromachi, Takashi Shibata (Role: Joint editor)

World Scientific Publishing Co., 2016
Modeling Financial Risks

Yukio Muromachi (Role: Editor)

2014
Recent Advances in Financial Engineering 2012

Akihiko Takahashi, Yukio Muromachi, Takashi Shibata (Role: Joint editor)

World Scientific Publishing Co., 2013
Recent Advances in Financial Engineering 2011

Akihiko Takahashi, Yukio Muromachi, Hidetaka Nakaoka (Role: Joint editor)

World Scientific Publishing Co., 2012
Recent Advances in Financial Engineering 2010

Masaaki Kijima, Chaki hara, Yukio Muromachi, Hidetaka Nakaoka (Role: Joint editor)

World Scientific Publishing Co., 2011
Recent Advances in Financial Engineering 2009

Masaaki Kijima, Chaki Hara, Keiichi Tanaka, Yukio Muromachi (Role: Joint editor)

World Scientific Publishing Co., 2010
The Black-Sholes Formula and Its Applications in Finance (in Methods and Applications of Statistics in Business, Finance, and Management Science)

Masaaki Kijima, Yukio Muromachi (Role: Contributor)

Wiley John & Sons, 2010
金融工学ハンドブック

室町幸雄

朝倉書店, Jun, 2009
Recent Advances in Financial Engineering 2008

Masaaki Kijima, Masahiko Egami, Kei-ichi Tanaka, Yukio Muromachi (Role: Joint editor)

World Scientific Publishing Co., 2009
Evaluation of Credit Risk and Pricing CDO

Yukio Muromachi

2007
Estimation and Optimazation in Financial Engineering

Yukio Muromachi (Role: Joint author)

2000
Credit Risk

Yukio Muromachi (Role: Joint author, Appendix)

1998

Teaching Experience

Research Projects

マルチカーブ環境における金利デリバティブの価格付け理論の再構築とその応用

科学研究費基盤研究B, 日本学術振興会, Apr, 2016 - Mar, 2020

室町幸雄
金融リスク計測における統計学的モデルとストレステストの融合に関する研究

科学研究費基盤C, 日本学術振興会, Apr, 2012 - Mar, 2015

室町幸雄
金融資産ポートフォリオのリスク量およびリスク寄与度の高精度推定手法の研究

科学研究費若手研究スタートアップ, 日本学術振興会, Apr, 2008 - Mar, 2010

室町幸雄