教員の写真

Profile

Dr. Toshiyuki Yamawake is an Associate Professor in Faculty of Economics in Nagoya University of Commerce and Business, where he has taught since 2006. He received Ph.D. in Economics from the Graduate School of Economics, Kyoto University in 2008.

1978年京都府生まれ。2002年京都大学経済学部経営学科卒業。2007年京都大学経済学研究科ビジネス科学専攻博士後期課程単位取得退学。2008年に京都大学より博士(経済学)を取得。2006年より現職。主な著書に『金融リスクモデリング: 理論と重要課題へのアプローチ(シリーズ〈金融工学の新潮流〉2)』(朝倉書店、共著)がある。

Specialized Field

financial engineering, investment securities

Academic Background

Ph.D. (Kyoto University)

Research Papers

  • "Comparison of utility indifference pricing and mean-variance approach under a normal mixture distribution with time-varying volatility", Finance Research Letters, 201804
  • "Determinants of Vertical Integration: Investment Efficiency, Product Differentiation and Firm Size", Theoretical Economics Letters, 201804
  • Financial Risk Modeling, Yukio Muromachi ed., Asakura Shoten, 201410
  • "The Estimation of Expected Shortfall using Linear Quantile Regression", NUCB Journal of Economics and Information Science, Vol.56 No.2, 201203
  • "Estimation of Value-at-Risk of Foreign Exchange Portfolios with Linear Quantile Regression", NUCB Journal of Economics and Information Science, Vol.53 No.2, 2009
  • "Incorporationg New Change of the Risk Factors Into the Historical Simulation Method for Value-at-Risk", NUCB Journal of Economics and Information Science, Vol.52 No.2, 2008
  • "Comparison of Accuracy Between Value-at-Risk with Quantile Regression and Value-at-Risk with Historical Method", NUCB Journal of Economics and Information Science, Vol.52 No.1, 2007
  • "The Estimation of Value-at-Risk with Quantile Regression" Graduate School of Economics, Kyoto University, 2008