Hibiki, Norio

写真a

Affiliation

Faculty of Science and Technology, Department of Industrial and Systems Engineering (Yagami)

Position

Professor

External Links

Career 【 Display / hide

  • 1992.04
    -
    1997.03

    慶應義塾大学, 理工学部, 助手

  • 1997.04
    -
    2002.03

    慶應義塾大学, 理工学部, 専任講師

  • 1998.04
    -
    1999.03

    兼慶應義塾大学理工学部管理工学科 ,教室幹事

  • 1998.04
    -
    2000.03

    兼慶應義塾大学経済学部 ,兼担専任講師

  • 2002.04
    -
    2007.03

    慶應義塾大学, 理工学部, 助教授

display all >>

Academic Background 【 Display / hide

  • 1988.03

    Keio University, Faculty of Science and Engineering, 管理工学科

    University, Graduated

  • 1990.03

    Keio University, Graduate School, Division of Science and Engineeri, 管理工学専攻

    Graduate School, Completed, Master's course

  • 1994.09

    Keio University, Graduate School, Division of Science and Engineeri, 管理工学専攻

    Graduate School, Completed, Doctoral course

Academic Degrees 【 Display / hide

  • Doctor (Engineering), Keio University, Coursework, 1994.09

    財務リスクを管理するためのALMモデル ー 銀行のALM(資産負債管理)に対する数理計画法を用いたモデル・アプローチ

 

Books 【 Display / hide

  • A Study on Optimal Limit Order Strategy Using Multi-Period Stochastic Programming Considering Nonexecution Risk

    Sakurai S., Hibiki N., Intelligent Engineering and Management for Industry 4.0, 2022.01

     View Summary

    Our paper discusses optimal trading strategy of stock using limit orders considering nonexecution risk for institutional investors. The limit order could satisfy their needs due to the smaller market impact than market order. However, the limit order has risk of not being filled which is called nonexecution risk. According to some empirical analyses, executing a larger amount of limit order is more difficult than a small amount, and this relationship should be considered in the execution strategy. We estimate the execution probability distribution empirically. The reorder strategy proposed in our paper allows investors to replace nonexecuted limit orders as new limit orders, and nonexecuted amounts at maturity will be executed through market orders. The strategy is determined considering the trade-off among nonexecution risk, market impact, and timing risk. We find the optimal strategy can reduce the execution cost with the nonexecution risk.

  • モデリングの諸相:―OR と数理科学の交叉点―

    室田一雄・池上敦子・土谷 隆 編, 山下浩・蒲地政文・畔上秀幸・斉藤努・枇々木規雄・滝根哲哉・金森敬文 著, 近代科学社, 2016.09

    Scope: 第5章「金融工学とモデリング」

  • 金融工学入門(第2版)

    今野浩, 鈴木賢一, 枇々木規雄 共訳, 日本経済新聞出版社, 2015.03

  • 行動ファイナンスから読み解く個人向け投資サービスのあり方

    枇々木 規雄, 野村資本市場研究所, 2011

    Scope: 38-54

  • リスクの科学-金融と保険のモデル分析

    枇々木 規雄, 朝倉書店, 2007.11

    Scope: 1-31

display all >>

Papers 【 Display / hide

  • Optimal Currency Portfolio with Implied Return Distribution in the Mean-Variance Approach

    Hibiki Y., Kiriu T., Hibiki N.

    Asia-Pacific Financial Markets (Asia-Pacific Financial Markets)   2023.08

    Research paper (scientific journal), Joint Work, Last author, Accepted,  ISSN  13872834

     View Summary

    In this study, we construct an optimal currency portfolio using the implied return distribution in the mean-variance approach and examine the performance through a backtest. We estimate the implied expected spot return, implied volatility, and implied correlation from currency option price data, and propose a method of constructing a fully forward-looking optimal currency portfolio without historical data. We implement the backtest from January 2006 to October 2020 on a currency portfolio comprising seven currencies (the Japanese yen, the Swiss franc, the euro, the British pound, the Australian dollar, the New Zealand dollar, and the Canadian dollar) against the US dollar and US-dollar interest rate, and examine the usefulness of the proposed method. We find that the proposed method yields a higher performance than the conventional method in previous studies that use historical data. Furthermore, it is evidenced that the main factor in the performance gap between the proposed and the conventional methods is the high predictive power of the spot return.

  • 創業企業向け信用リスクモデルにおける人的要因の有効性 -創業時の年齢, 斯業経験年数, 創業の「旬」の効果

    尾木 研三,峰下 正博,枇々木 規雄

    ジャフィー・ジャーナル 21   63 - 87 2023.04

    Research paper (scientific journal), Joint Work, Accepted

  • Financial Literacy and Investment Behavior: Analysis using Financial Literacy Survey Data

    Norio Hibiki

    ファイナンシャル・プランニング研究 (日本FP学会)   ( 22 ) 2 - 19 2023.03

    Research paper (scientific journal), Single Work, Lead author, Accepted

  • Modeling the default risk of card loan considering individual behavior characteristics based on deposit and withdrawal data of bank account

    H. Kamitake and N. Hibiki

    Journal of the Operations Research Society of Japan 66 ( 1 ) 56 - 78 2023.01

    Research paper (scientific journal), Joint Work, Last author, Accepted

     View Summary

    In general, banks keep management costs for card loans down because the amounts are smaller than those of corporate loans. Therefore, they are not sufficiently managed after the money is lent. This study analyzes the deposit and withdrawal data of bank accounts used by card loan borrowers and proposes a default risk management technique. A previous study analyzed bank account data for screening applicants for card loans, and constructed a model to evaluate default risk. However, to the best of our knowledge, there are no studies that analyze bank account data to determine measures for managing the default risk while lending money with a card loan or construct a management model.
    In addition to the explanatory variables used in the screening model, we employ some variables observable after lending money that are related to individual behavior characteristics, such as number of borrowings and contract repayment rate, and analyze their relationships with default. We construct a logit model using these variables and examine the model using approximately 60 million observations. The result shows that the accuracy ratios exceed 50\%, and the model is effective in practice. We also confirm the robustness of the results through cross-validation and an out-of-sample test.

  • A Study on Optimal Limit Order Strategy using Multi-Period Stochastic Programming considering Nonexecution Risk

    S. Sakurai and N. Hibiki

    Intelligent Engineering and Management for Industry 4.0 (Springer)     77 - 90 2022.06

    Part of collection (book), Joint Work, Last author, Accepted

display all >>

Papers, etc., Registered in KOARA 【 Display / hide

Presentations 【 Display / hide

display all >>

Research Projects of Competitive Funds, etc. 【 Display / hide

  • グローバル株式運用のための包括的資産運用モデル確立に向けた研究

    2019.04
    -
    2022.03

    MEXT,JSPS, Grant-in-Aid for Scientific Research, Grant-in-Aid for Scientific Research (C), Coinvestigator(s)

  • PRACTICAL ASSET MANAGEMENT MODEL FOR OPTIMAL REBALANCING STRATEGY

    2015.04
    -
    2018.03

    MEXT,JSPS, Grant-in-Aid for Scientific Research, Grant-in-Aid for Scientific Research (C), Principal investigator

  • MULTI-PERIOD OPTIMIZATION MODEL FOR HOUSEHOLD FINANCIAL PLANNING

    2009.04
    -
    2012.03

    MEXT,JSPS, Grant-in-Aid for Scientific Research, Grant-in-Aid for Scientific Research (C), Research grant, Principal investigator

  • 不動産ファイナンスの理論と応用

    2002.04
    -
    2005.03

    MEXT,JSPS, Grant-in-Aid for Scientific Research, Grant-in-Aid for Scientific Research (A), Coinvestigator(s)

  • 下方リスクを考慮した資産負債管理に関する研究-数理計画モデルによるアプローチ-

    1996.04
    -
    1997.03

    MEXT,JSPS, Grant-in-Aid for Scientific Research, 奨励研究(A), Principal investigator

Awards 【 Display / hide

  • 第10回日本オペレーションズ・リサーチ学会論文賞

    霧生拓也, 枇々木規雄, 2020.08, 日本オペレーションズ・リサーチ学会, Estimating forward looking distribution with the Ross recovery theorem

    Type of Award: Award from Japanese society, conference, symposium, etc.

  • 第13回日本FP学会最優秀論文賞

    伊藤希, 枇々木規雄, 2018.09, 日本FP学会, 収入管理タイプが家計に及ぼす影響の分析とファイナンシャル・プランニングへの応用

    Type of Award: Award from Japanese society, conference, symposium, etc.

  • The PBSS Colloquium at St. John’s 2016, The Best Scientific Paper Award

    HIBIKI NORIO, MASAAKI ONO, 2016.06, The Pensions, Benefits and Social Security Section of the International Actuarial Association, Simulation Analysis for Evaluating Risk-sharing Pension Plans

    Type of Award: International academic award (Japan or overseas)

  • 第6回日本FP協会奨励賞

    HIBIKI NORIO, 2011.09, 日本FP協会, 多期間最適資産形成モデルとFPツールの開発

    Type of Award: Award from Japanese society, conference, symposium, etc.

  • 第6回日本FP学会奨励賞

    HIBIKI NORIO, 2011.09, 日本FP学会, 多期間最適資産形成モデルとFPツールの開発

    Type of Award: Award from Japanese society, conference, symposium, etc.

display all >>

 

Courses Taught 【 Display / hide

  • SEMINAR IN INDUSTRIAL AND SYSTEMS ENGINEERING

    2023

  • QUANTITATIVE APPROACHES TO BUSINESS DECISIONS

    2023

  • OPEN SYSTEMS MANAGEMENT: LECTURE AND LABORATORIES

    2023

  • LABORATORIES IN INDUSTRIAL AND SYSTEMS ENGINEERING (6)

    2023

  • INTRODUCTORY EXERCISES TO INDUSTRIAL AND SYSTEMS ENGINEERING 1

    2023

display all >>

 

Social Activities 【 Display / hide

  • 野村資本市場研究所「個人向け投資サービスと行動ファイナンス」を巡る研究会・委員

    2009.11
    -
    2011.05
  • 金融情報システムセンター「統合的リスク管理勉強会(第三部)」委員

    2000.07
    -
    2001.03
  • 金融監督庁「リスク管理モデルに関する研究会」

    1999.04
    -
    2000.03
  • 住宅金融公庫・ALM研究会

    1996.04
    -
    1998.03

Memberships in Academic Societies 【 Display / hide

  • APRIA(Asia-Pacific Risk and Insurance Association), 

    2013.05
    -
    Present
  • 日本FP学会, 

    2006.04
    -
    Present
  • 日本保険・年金リスク学会, 

    2003.11
    -
    Present
  • 日本統計学会, 

    2000.06
    -
    2007.03
  • 応用経済時系列研究会, 

    1999.06
    -
    Present

display all >>

Committee Experiences 【 Display / hide

  • 2022.04
    -
    Present

    会長, 日本保険・年金リスク学会

  • 2020.04
    -
    2022.03

    副会長, 日本保険・年金リスク学会

  • 2018.05
    -
    Present

    表彰委員会委員, 日本オペレーションズ・リサーチ学会

  • 2018.04
    -
    Present

    理事, 日本FP学会

  • 2018.04
    -
    2022.03

    会員担当理事, 日本保険・年金リスク学会

display all >>