Toshinao Yoshiba

J-GLOBAL         Last updated: Jul 22, 2019 at 13:40
 
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Name
Toshinao Yoshiba
E-mail
tyoshibatmu.ac.jp
Affiliation
Tokyo Metropolitan University
Section
Graduate School of Management
Job title
Research Professor
Degree
Ph.D. in Statistical Mathematics(Graduate University School for Advanced Studies)
Other affiliation
Bank of JapanThe Institute of Statistical MathematicsInternational Christian University

Research Areas

 
 

Academic & Professional Experience

 
Apr 2019
 - 
Today
Research Professor, Graduate School of Management, Tokyo Metropolitan University
 
Apr 2019
 - 
Today
Part-time Lecturer, International Christian University
 
Sep 2018
 - 
Today
Director and Senior Economist, Financial System and Bank Examination Department, Bank of Japan
 
Apr 2012
 - 
Today
Visiting Professor, Risk Analysis Research Center, Institute of Statistical Mathematics
 
Jul 2014
 - 
Sep 2018
Director and Senior Economist, Institute for Monetary and Economic Studies, Bank of Japan
 
Oct 2014
 - 
Sep 2018
Head of Financial Studies Group, Institute for Monetary and Economic Studies, Bank of Japan
 
Feb 2011
 - 
Jul 2014
Director, Financial System and Bank Examination Department, Bank of Japan
 
Jan 2006
 - 
Mar 2012
Visiting Associate Professor, Risk Analysis Research Center, Institute of Statistical Mathematics
 
Jul 2004
 - 
Feb 2011
Director and Senior Economist, Institute for Monetary and Economic Studies, Bank of Japan
 
Jul 1995
 - 
Feb 2011
Institute for Monetary and Economic Studies, Bank of Japan
 
Apr 2003
 - 
Mar 2005
Part-time Lecturer (Statistics), Graduate School of Asia-Pacific Studies, Waseda University
 
Feb 2002
 - 
Mar 2002
Part-time Lecturer, Graduate School of Business Sciences, University of Tsukuba
 
Apr 1993
 - 
Jul 1995
Research and Statistics Department, Bank of Japan
 

Education

 
Nov 2010
 - 
Mar 2011
Department of Statistical Science, School of Multidisciplinary Sciences, Graduate University School for Advanced Studies
 
Apr 1991
 - 
Mar 1993
Mathematical Engineering and Information Physics Course, Division of Engineering, Graduate School, University of Tokyo
 
Apr 1987
 - 
Mar 1991
Department of Mathematical Engineering and Information Physics, Faculty of Engineering, University of Tokyo
 

Committee Memberships

 
Jan 2014
 - 
Today
International Conferences on Sovereign Bond Markets  Scientific Committee
 

Awards & Honors

 
Oct 1993
Linear Time Algorithms for Convex Programming, 11th Student Thesis Award, The Operations Research Society of Japan
 

Published Papers

 
Wrong-way risk modeling by fractional fast Fourier transform and a copula for the cumulative default intensities with shifted square root jump diffusion: Application to credit valuation adjustment of credit default swap
Tetsuya Adachi, Takumi Sueshige, and Toshinao Yoshiba
RIMS Kôkyûroku   (2106) 101-116   Apr 2019   [Invited]
Toshinao Yoshiba
Journal of Statistical Computation and Simulations   88(13) 2489-2506   May 2018   [Refereed]
Calculation of Distribution Function of Cumulative Intensity with Square-root Jump Diffusion and Its Application to CVA of CDS
Tetsuya Adachi, Takumi Sueshige, and Toshinao Yoshiba
RIMS Kôkyûroku   (2029) 78-91   May 2017   [Invited]
Wrong-way Risk Modelling in CVA: Implementation and Comparison
Tetsuya Adachi, Takumi Sueshige, and Toshinao Yoshiba
Kin'yu-kenkyu   36(1) 115-162   Jan 2017   [Refereed]
The Intraday Market Liquidity of Japanese Government Bond Futures
Naoshi Tsuchida, Toshiaki Watanabe, and Toshinao Yoshiba
Monetary and Economic Studies   34 67-96   Nov 2016   [Refereed]
Survey on Wrong-way Risk Modelling in CVA
Tetsuya Adachi, Takumi Sueshige, and Toshinao Yoshiba
Kin'yu-kenkyu   35(3) 35-88   Jul 2016   [Refereed]
Toshinao Yoshiba
Journal of the Japan Statistical Society (Japanese version)   45(2) 329-352   Mar 2016   [Refereed][Invited]
Risk Aggregation with Copula for Banking Industry
Toshinao Yoshiba
Applications+Practical Conceptualization+Mathematics=Fruitful Innovation: Proceedings of the Forum of Mathematics for Industry 2014   247-259   Sep 2015   [Refereed][Invited]
Analytical Solutions for Expected Loss and Standard Deviation of Loss with an Additional Loan
Satoshi Yamashita, and Toshinao Yoshiba
Asia-Pacific Financial Markets   22(2) 113-132   May 2015   [Refereed][Invited]
Survey of Applications of Copulas in Financial Risk Management
Toshinao Yoshiba
Securities Analysts Journal   52(3) 33-41   Mar 2014   [Invited]
A collateralized loan’s loss under a quadratic Gaussian default intensity process
Satoshi Yamashita, and Toshinao Yoshiba
Quantitative Finance   13(12) 1935-1946   Dec 2013   [Refereed]
Analytical solution for the expected loss of a collateralized loan: a square-root intensity process negatively correlated with collateral value
Satoshi Yamashita and Toshinao Yoshiba
Journal of Credit Risk   9(2) 27-44   Sep 2013   [Refereed]
Analytical Solution for m-th Moment of a Collateralized Loan’s Loss under a Quadratic Gaussian Default Intensity Process
Satoshi Yamashita and Toshinao Yoshiba
Proceedings of the Institute of Statistical Mathematics   59(1) 141-157   Jun 2011   [Refereed]
Effect and Quantification of Tail and Dependence between Random Variables for Financial Risks
Toshinao Yoshiba
Statistical Science, School of Multidisciplinary Sciences Department of Statistical Science, The Graduate University School for Advanced Studies      Mar 2011   [Refereed]
Correlation Structures between Assets’ Returns in Financial Crisis: Evaluation using Copulas
Kohei Shintani, Tetsuya Yamada, and Toshinao Yoshiba
Kin'yu-kenkyu   20(3) 89-122   Jul 2010   [Refereed]
Credit Risk Valuation with an Additional Loan: Analytical Solutions for EL and UL Using Structural Model
Satoshi Yamashita and Toshinao Yoshiba
Kin'yu-kenkyu   26(別冊2) 103-136   Nov 2007   [Refereed]
Commentary on Concrete Applications of Copula in Financial Practices
Hironobu Tozaka and Toshinao Yoshiba
Kin'yu-kenkyu   24(別冊2) 115-162   Dec 2005   [Refereed]
Yasuhiro Yamai, and Toshinao Yoshiba
Journal of Banking and Finance   29(4) 997-1005   Apr 2005   [Refereed]
Comparative Analyses of Value-at-Risk and Expected Shortfall
Yasuhiro Yamai and Toshinao Yoshiba
Journal of the Operations Research Society of Japan   45(4) 490-506   Dec 2002   [Refereed][Invited]
Comparative Analyses of Expected Shortfall and VaR (3): Their Validity under Market Stress
Yasuhiro Yamai and Toshinao Yoshiba
Monetary and Economic Studies   20(3) 181-237   Oct 2002   [Refereed]

Books etc

 
Handbook of Financial Engeneering (Handbooks in Operations Research and Management Science: Financial Engineering, Volume 15)
Costis Skiadas (Japanese Translation: Toshinao Yoshiba) (Part:Joint Translation, Chapter 19 Dynamic Portfolio Choice and Risk Aversion)
Asakura Publishing (Elsevier Science)   Jun 2009   

Conference Activities & Talks

 
Tail dependence and portfolio risk quantification
Toshinao Yoshiba
Joint research meeting "Application of extreme value theory to engineering"   19 Jul 2019   
Value-at-Risk and Expected Shortfall of Stock Portfolio Using Skew-t Copulas
Toshinao Yoshiba
SIAM Conference on Financial Mathematics & Engineering 2019   7 Jun 2019   
Value-at-risk and expected shortfall of stock portfolio using skew-t copulas [Invited]
Toshinao Yoshiba
11th International Conference of the ERCIM (European Research Consortium for Informatics and Mathematics) Working Group on Computational and Methodological Statistics (CMStatistics 2018)   15 Dec 2018   
Risk management using skew-t copula [Invited]
Toshinao Yoshiba
Center for Mathematical Modeling and Data Science, Osaka University, Nakanoshima Workshop 2018 “Problems of Financial Engineering and Mathematical and Quantitative Finance”   30 Nov 2018   
Risk management using skew-t copula [Invited]
Toshinao Yoshiba
34th Marunouchi QF (Quantitative Finance) Seminar, Tokyo Metropolitan University   7 Nov 2018   
Wrong-way risk in credit valuation adjustment of credit default swap with copulas
Toshinao Yoshiba
JAFEE (Japanese Association of Financial Econometrics and Engineering) 49th 2018 Summer Conference   24 Aug 2018   
Wrong-way risk in credit valuation adjustment of credit default swap with copulas: Application of shifted square root jump diffusion for default intensities
Toshinao Yoshiba
10th World Congress of the Bachelier Finance Society   18 Jul 2018   
Wrong-way risk in credit valuation adjustment of credit default swap with copulas: Application of shifted square root jump diffusion for default intensities
Toshinao Yoshiba
Nippon Finance Association 26th Annual Conference   24 Jun 2018   
Credit valuation adjustment of credit default swap: Application of stochastic default intensity and copula [Invited]
Toshinao Yoshiba
5th Financial Symposium of ISM Risk Analysis Research Center, "Modelling and Control of Financial Risk IV"   15 Dec 2017   
Wrong-way risk modeling by fractional fast Fourier transform and a copula for the cumulative default intensities with shifted square root jump diffusion: Application to credit valuation adjustment of credit default swap
Toshinao Yoshiba
FMA 2017: RIMS Workshop on Financial Modeling and Analysis   14 Nov 2017   
Mathematical Engineering and Information Physics versus Financial Risk Management [Invited]
Toshinao Yoshiba
Special Lecture on Mathematical Engineering and Information Physics, Faculty of Engineering, University of Tokyo   2 May 2017   
The Intraday Market Liquidity of Japanese Government Bond Futures
Toshinao Yoshiba
The Fourth Edition of Paris Financial Management Conference (PFMC 2016)   13 Dec 2016   
Distribution function for cumulative intensity of SSRJD and its applications to CVA of CDS
Toshinao Yoshiba
10th International Conference on Computational and Financial Econometrics (CFE 2016)   11 Dec 2016   
Distribution function for cumulative intensity of SSRJD and its applications to CVA of CDS
Toshinao Yoshiba
FMA 2016: RIMS Workshop on Financial Modeling and Analysis   29 Nov 2016   
The Intraday Market Liquidity of Japanese Government Bond Futures [Invited]
Toshinao Yoshiba
International Workshop on Spatial and Temporal Modeling from Statistical, Machine Learning and Engineering perspectives (STM 2016)   23 Jul 2016   
The Intraday Market Liquidity of Japanese Government Bond Futures
Toshinao Yoshiba
9th World Congress of the Bachelier Finance Society   18 Jul 2016   
Maximum likelihood estimation of skew-t copulas and its application to asset returns
Toshinao Yoshiba
JAFEE (Japanese Association of Financial Econometrics and Engineering) 44th 2015 Winter Conference   25 Jan 2016   
ALM in Banking and Risk Management [Invited]
Toshinao Yoshiba
13th Lecture on "Topics on Financial Engineering II," Tokyo Institute of Technology Graduate School of Innovation Management   13 Jan 2016   
Empirical comparison of several skew-t copulas [Invited]
Toshinao Yoshiba
9th International Conference on Computational and Financial Econometrics (CFE 2015)   12 Dec 2015   
Maximum likelihood estimation of skew-t copulas and its application to financial econometrics [Invited]
Toshinao Yoshiba
Econometrics Workshop, Institute for Economic Studies, Keio University   17 Nov 2015   

Teaching Experience