Hibiki, Norio

写真a

Affiliation

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

Position

Professor

External Links
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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

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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

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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

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Books 【 Display / hide 】

  • 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

  • ポートフォリオ最適化と数理計画法

    HIBIKI NORIO, TANABE TAKAHITO, 朝倉書店, 2005.08

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Papers 【 Display / hide 】

  • Herding effect of both global and local crises in BRICS countries

    Tatomir M. and Hibiki N.

    Journal of Economic Asymmetries 31 2025.06

    Research paper (scientific journal), Joint Work, Last author, Accepted,  ISSN  17034949

    　View Summary

    This research addresses the asymmetric acknowledgment given to local versus global crises, particularly within the BRICS nations. Local crises often surpass global events in their impact but remain underexplored. Using a comprehensive approach combining Financial and Economic, Public Sentiment, and Governance data, the research applies a novel Axiom and Inference model to identify overlooked crises. Results indicate that local crises in BRICS countries have measurable impacts exceeding global benchmarks, with distinctive patterns of herding behaviour: China primarily responds to global crises, India reacts equally to both, and Brazil, Russia, and South Africa exhibit stronger herding during local crises. The findings challenge traditional crisis frameworks, emphasizing the need to recognize and address local and non-financial crises to mitigate their potential escalation into global phenomena.

  • The impact of macroeconomic announcements on risk, preference, and risk premium

    T. Kiriu and N. Hibiki

    International Review of Economics and Finance (International Review of Economics and Finance)  93   842 - 857 2024.05

    Research paper (scientific journal), Joint Work, Last author, Accepted,  ISSN  10590560

    　View Summary

    This study examines the impact of macroeconomic announcements on the risk premium and its sources under time-varying preference. We propose a novel method to decompose risk premium changes into the risk and preference components, which are estimated from option prices immediately before and after the announcement using the Recovery Theorem. The results of the empirical analysis for the United States stock market indicate that (1) the negative (positive) macroeconomic announcement surprise increases (decreases) the risk premium; (2) the risk component mainly drives the increase (decrease) in the risk premium; and (3) the preference component has limited influence on the risk premium.

  • Asset allocation with forward-looking distribution

    T. Kiriu and N. Hibiki

    International Journal of Portfolio Analysis and Management 2 ( 4 ) 316 - 341 2024.04

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

  • Useful Rules for Lump Sum and Installment Investments

    Norio Hibiki

    ファイナンシャル・プランニング研究 (日本FP学会)   ( 23 ) 2 - 20 2024.03

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

  • 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)  31 ( 2 ) 251 - 283 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.

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

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Reviews, Commentaries, etc. 【 Display / hide 】

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Presentations 【 Display / hide 】

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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

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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.

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Courses Taught 【 Display / hide 】

  • SEMINAR IN INDUSTRIAL AND SYSTEMS ENGINEERING

    2025

  • QUANTITATIVE APPROACHES TO BUSINESS DECISIONS

    2025

  • OPEN SYSTEMS MANAGEMENT: LECTURE AND LABORATORIES

    2025

  • LABORATORIES IN INDUSTRIAL AND SYSTEMS ENGINEERING (6)

    2025

  • INTRODUCTORY EXERCISES TO INDUSTRIAL AND SYSTEMS ENGINEERING 1

    2025

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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
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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

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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

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