Papers - Hibiki, Norio

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

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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.

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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

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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.

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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

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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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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

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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

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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.

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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

実現半分散を用いた資産配分問題

山本 健弘，枇々木 規雄

ジャフィー・ジャーナル 20   1 - 21 2022.04

Research paper (scientific journal), Joint Work, Accepted

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資産配分モデルの実務への適用と投資信託の設計

伊藤雅剛, 徐嘉文, 枇々木規雄

オペレーションズ・リサーチ (日本オペレーションズ・リサーチ学会)  66   683 - 689 2021.10

Research paper (scientific journal), Joint Work, Accepted

オプション価格情報を利用した資産価格変動要因の分解―米国株式市場における実証分析―

霧生 拓也, 枇々木 規雄

現代ファイナンス 43   27 - 48 2021.04

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

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最適資産配分問題における収益率分布推定方法の比較

霧生 拓也，枇々木裕太，枇々木 規雄

ジャフィー・ジャーナル 19   1 - 26 2021.04

Research paper (scientific journal), Joint Work, Accepted

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Asset Allocation with Asset-class-based and Factor-based Risk Parity Approaches

H. Kato and N. Hibiki

Journal of the Operations Research Society of Japan 63 ( 4 ) 93 - 113 2020.10

Research paper (scientific journal), Joint Work, Accepted,  ISSN  04534514

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The asset allocation strategy is important to manage assets effectively. In recent years, the risk parity strategy has become attractive to academics and practitioners. The risk parity strategy determines the allocation for asset classes in order to equalize their contributions to overall portfolio risk. Roncalli and Weisang (2016) propose the use of \risk factors" instead of asset classes. This approach achieves the portfolio diversification based on the decomposition of portfolio risk into risk factor contribution. The factor-based risk parity approach can diversify across the true sources of risk whereas the asset-class-based approach may lead to solutions with hidden risk concentration. However, it has some shortcomings. In our paper, we propose a methodology of constructing the well-balanced portfolio by the mixture of asset-classbased and factor-based risk parity approaches. We also propose the method of determining the weight of two approaches using the diversification index. We can construct the portfolio dynamically controlled with the weight which is adjusted in response to market environment. We examine the characteristics of the model through the numerical tests with seven global financial indices and three factors. We find it gives the well-balanced portfolio between asset and factor diversifications. We also implement the backtest from 2005 to 2018, and the performances are measured on a USD basis. We find our method decreases standard deviation of return and downside risk, and it has a higher Sharpe ratio than other portfolio strategies. These results show our new method has practical advantages.

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銀行口座の入出金情報に基づく個人の行動特性を考慮したカードローンのデフォルト分析とモデル化

上武 治紀, 吉田 博哉, 枇々木 規雄

日本統計学会誌 49 ( 2 ) 1 - 24 2020.03

Research paper (scientific journal), Accepted

Deferred Public Pension and Longevity Risk for a Household in Retirement

SHIBAHARA MASAHIRO, HIBIKI NORIO

日本保険・年金リスク学会誌 (日本保険・年金リスク学会)  11 ( 1 ) 25 - 52 2019.09

Research paper (scientific journal), Joint Work, Accepted

Estimating the Recovery Rates for Unsecured Loans to Small Sized Firms

M. Toshiro, M. Tasaki, Y. Hikidera, and N. Hibiki

Asia-Pacific Journal of Risk and Insurance 13 ( 2 )  2019.07

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

Dynamic Optimal Execution Models with Transient Market Impact and Downside risk

Y. Ono, N. Hibiki and Y. Sakurai

Journal of Japan Industrial Management Association 70 ( 2E ) 105 - 114 2019.07

Research paper (scientific journal), Joint Work, Accepted

個人企業向けクレジットスコアリングモデルにおける業歴の有効性

尾木研三, 内海裕一, 枇々木規雄

統計数理 67 ( 1 ) 121 - 149 2019.06

Research paper (scientific journal), Joint Work, Accepted

Estimating Forward Looking Distribution with the Ross Recovery Theorem

T. Kiriu and N. Hibiki

Journal of the Operations Research Society of Japan 62 ( 2 ) 83 - 107 2019.04

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

Generalized Recovery Theoremを用いた収益率分布の推定

伊藤 雅剛、霧生 拓也，枇々木 規雄

ジャフィー・ジャーナル 17   76 - 99 2019.04

Research paper (scientific journal), Joint Work, Accepted

Optimal Multiple Pairs Trading Strategy using Derivative Free Optimization under Actual Investment Management Conditions

Rei Yamamoto and Norio Hibiki

Journal of the Operations Research Society of Japan (日本オペレーションズ・リサーチ学会)  60 ( 4 ) 244 - 261 2017.07

Research paper (scientific journal), Joint Work, Accepted

Contingent Capital を用いた銀行のリスク管理に関する研究

岩熊 淳太, 枇々木 規雄

ジャフィー・ジャーナル「金融工学と市場計量分析」 (日本金融・証券計量・工学学会)     102 - 132 2017.03

Research paper (scientific journal), Joint Work, Accepted

創業企業の信用リスクモデル

尾木 研三, 内海 裕一, 枇々木 規雄

ジャフィー・ジャーナル「金融工学と市場計量分析」 (日本金融・証券計量・工学学会)     133 - 156 2017.03

Research paper (scientific journal), Joint Work, Accepted

小企業向け信用スコアリングモデルにおける業歴関数の頑健性と経営者の個人資産額との関係性

尾木 研三, 戸城 正浩, 枇々木 規雄

Transactions of the Operations Research Society of Japan (日本オペレーションズ・リサーチ学会)  59   134 - 159 2016.12

Research paper (scientific journal), Accepted

下方リスクを考慮した多期間最適執行戦略モデル

竹延俊一, 枇々木規雄

オペレーションズ・リサーチ (日本オペレーションズ・リサーチ学会)  61 ( 6 ) 385 - 396 2016.06

Research paper (scientific journal), Accepted

小企業のEL推計における業歴の有効性

KENZO OGI, MASAHIRO TOSHIRO, HIBIKI NORIO

ジャフィー・ジャーナル「金融工学と市場計量分析」 (日本金融・証券計量・工学学会)     156 - 175 2016.03

Research paper (scientific journal), Joint Work, Accepted

MULTI-PERIOD INVESTMENT POLICY FOR CORPORATE PENSION FUND WITH SPONSORING COMPANY

Muneki Kawaguchi and Norio Hibiki

Transactions of the Operations Research Society of Japan (日本オペレーションズ・リサーチ学会)  58   1 - 23 2015.12

Research paper (scientific journal), Joint Work, Accepted

銀行勘定の金利リスク管理モデル －修正期間収益アプローチと経済価値アプローチの比較－

岩熊 淳太, 枇々木 規雄

FSAリサーチ・レビュー  ( 9 )  2015.10

Research paper (other academic), Joint Work, Accepted

Multi-period Stochastic Programming Model for State-Dependent Asset Allocation with CVaR

Shinya Hirano and Norio Hibiki

Journal of the Operations Research Society of Japan (日本オペレーションズ・リサーチ学会)  58 ( 4 ) 307 - 329 2015.10

Research paper (scientific journal), Joint Work, Accepted

ファンド運営を意識した最適ペアトレード戦略 －DFO手法を用いた問題設計－

山本 零, 枇々木 規雄

ジャフィー・ジャーナル「金融工学と市場計量分析」 (日本金融・証券計量・工学学会)     202 - 233 2015.03

Research paper (scientific journal), Joint Work, Accepted

小企業向け保全別回収率モデルの構築と実証分析

KENZO OGI, MASAHIRO TOSHIRO, HIBIKI NORIO

ジャフィー・ジャーナル「金融工学と市場計量分析」 (日本金融・証券計量・工学学会)     168 - 201 2015.03

Research paper (scientific journal), Joint Work, Accepted

複数資産にインプライド分布を用いた最適資産配分モデル

霧生 拓也, 枇々木 規雄

Transactions of the Operations Research Society of Japan (日本オペレーションズ・リサーチ学会)  57   112 - 134 2014.12

Research paper (scientific journal), Joint Work, Accepted

取引コストを考慮した最適資産配分問題 －DFO手法を用いた最適乖離許容領域の決定－

枇々木 規雄, 山本 零, 田辺 隆人, 今井 義弥

Transactions of the Operations Research Society of Japan (日本オペレーションズ・リサーチ学会)  57   1 - 26 2014.12

Research paper (scientific journal), Joint Work, Accepted

Optimal Symmetric No-trade Ranges in Asset Rebalancing Strategy with Transaction Costs - An application to the Government Pension Investment Fund in Japan -

Norio Hibiki and Rei Yamamoto

Asia-Pacific Journal of Risk and Insurance 8 ( 2 ) 293 - 327 2014.07

Research paper (scientific journal), Joint Work, Accepted

母体財務への影響を考慮した年金資産運用

KAWAGUCHI MUNEKI, HIBIKI NORIO

日本保険・年金リスク学会誌 (日本保険・年金リスク学会)  5 ( 1 ) 21 - 34 2014.03

Research paper (scientific journal), Joint Work, Accepted

VWAP執行戦略のための日中出来高予測モデルに関する研究

KOSATO TAKUYA, HIBIKI NORIO

証券アナリストジャーナル (日本証券アナリスト協会)  51 ( 4 ) 77 - 89 2013.04

Research paper (scientific journal), Joint Work, Accepted

モンテカルロ・シミュレーションを用いた動的ポートフォリオ最適化モデル

高屋圭介, 枇々木 規雄

Transactions of the Operations Research Society of Japan (日本オペレーションズ・リサーチ学会)  55   84 - 101 2012.12

Research paper (scientific journal), Joint Work, Accepted

信用スコアリングモデルにおけるマクロファクターの導入と推定デフォルト確率の一致精度の改善効果

枇々木 規雄, 尾木 研三, 戸城 正浩

Transactions of the Operations Research Society of Japan (日本オペレーションズ・リサーチ学会)  55   42 - 65 2012.12

Research paper (scientific journal), Joint Work, Accepted

WTI原油価格の変動要因モデルの推定

KAWAGUCHI TOMOHIRO, HIBIKI NORIO

オペレーションズ・リサーチ (日本オペレーションズ・リサーチ学会)  56 ( 10 ) 605 - 611 2011.10

Research paper (scientific journal), Joint Work, Accepted

株式制度信用取引における逆日歩予測に関する研究

SEKITO HIDEKI, HIBIKI NORIO

証券アナリストジャーナル (日本証券アナリスト協会)  49 ( 7 ) 71 - 83 2011.07

Research paper (scientific journal), Joint Work, Accepted

多期間最適化モデルを用いた保険ALM戦略

NISHIMURA TOSHIO, HIBIKI NORIO

日本保険・年金リスク学会誌 (日本保険・年金リスク学会)  5 ( 1 ) 1 - 27 2011.04

Research paper (scientific journal), Joint Work, Accepted

教育ローンの信用スコアリングモデル

HIBIKI NORIO, OGI KENZO, TOSHIRO MASAHIRO

ジャフィー・ジャーナル「金融工学と市場計量分析」 (日本金融・証券計量・工学学会)     136 - 165 2011.04

Research paper (scientific journal), Joint Work, Accepted

銀行の流動性預金残高と満期の推定モデル

KAMITAKE HARUKI, HIBIKI NORIO

ジャフィー・ジャーナル「金融工学と市場計量分析」 (日本金融・証券計量・工学学会)     196 - 223 2011.04

Research paper (scientific journal), Joint Work, Accepted

主観的健康感を考慮したリタイアメント・プランニング・モデル

HIBIKI NORIO, NISHIOKA FUMIE

ファイナンシャル・プランニング研究 (日本FP学会)   ( 10 ) 91 - 101 2011.03

Research paper (scientific journal), Joint Work, Accepted

小企業向けスコアリングモデルにおける業歴の有効性

HIBIKI NORIO, OGI KENZO, TOSHIRO MASAHIRO

ジャフィー・ジャーナル「金融工学と市場計量分析」 (日本金融・証券計量・工学学会)     83 - 116 2010.03

Research paper (scientific journal), Joint Work, Accepted

家計のフィナンシャル・プランニングのための多期間最適化モデル

枇々木 規雄

ファイナンシャル・プランニング研究 (日本FP学会)   ( 8 ) 32 - 42 2009.03

Research paper (scientific journal), Single Work, Accepted

Multi-period optimization model for a household, and optimal insurance design

Norio Hibiki

Journal of the Operations Research Society of Japan (日本オペレーションズ・リサーチ学会)  50 ( 4 ) 463 - 487 2007.12

Research paper (scientific journal), Single Work, Accepted

研究開発プロジェクト選択問題に対する平均・分散アプローチによる資本予算モデル

枇々木 規雄

Transactions of the Operations Research Society of Japan (日本オペレーションズ・リサーチ学会)  50   15 - 41 2007.12

Research paper (scientific journal), Single Work, Accepted

線形価格インパクト関数を用いた最適執行戦略

枇々木 規雄

Transactions of the Operations Research Society of Japan (日本オペレーションズ・リサーチ学会)  50   100 - 122 2007.12

Research paper (scientific journal), Single Work, Accepted

多期間最適資産形成モデル －実践的なモデルへの拡張－

HIBIKI NORIO, KOMORIBAYASHI KATSUYA

日本保険・年金リスク学会誌 (日本保険・年金リスク学会)  2 ( 1 ) 3 - 31 2006.09

Research paper (scientific journal), Joint Work, Accepted

Multi-period Stochastic Optimization Models for Dynamic Asset Allocation

HIBIKI NORIO

Journal of Banking and Finance 30 ( 2 ) 365 - 390 2006.02

Research paper (scientific journal), Single Work, Accepted

多期間最適化手法を用いた世帯の資産形成モデル

HIBIKI NORIO, KOMORIBAYASHI KATSUYA, TOYODA NOBUKO

日本保険・年金リスク学会誌 (日本保険・年金リスク学会)  1 ( 1 ) 45 - 68 2005.09

Research paper (scientific journal), Joint Work, Lead author, Corresponding author, Accepted

多期間ポートフォリオ最適化問題におけるモデリング技術と実装 (計算) 技術の重要性

枇々木規雄, 田辺隆人

高橋一, 池田昌幸編, 金融工学と資本市場の計量分析―ジャフィー・ジャーナル2003    81 - 114 2003.06

Research paper (scientific journal), Joint Work, Accepted

コンパクト表現によるシミュレーション型多期間確率計画モデルの定式化

枇々木 規雄

Journal of the Operations Research Society of Japan 45 ( 4 ) 529 - 549 2002.12

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

双対問題表現によるポートフォリオ最適化モデル

枇々木 規雄

オペレーションズ・リサーチ (日本オペレーションズ・リサーチ学会)  47 ( 4 ) 257 - 263 2002.04

Research paper (scientific journal), Single Work, Accepted

最適資産配分問題に対するシミュレーション/ツリー混合型多期間確率計画モデル

枇々木 規雄

高橋一編, ジャフィー・ジャーナル[2001] 金融工学の新展開    89 - 119 2001.06

Research paper (scientific journal), Single Work, Accepted

戦略的資産配分問題に対する多期間確率計画モデル

枇々木 規雄

Journal of the Operations Research Society of Japan (日本オペレーションズ・リサーチ学会)  44 ( 2 ) 169 - 193 2001.06

Research paper (scientific journal), Single Work, Accepted

DEA Sensitivity Analysis by Changing a Reference Set: Regional Contribution to Japanese Industrial Development

N.Hibiki and T.Sueyoshi

OMEGA 27 ( 2 ) 139 - 153 1999.04

Research paper (scientific journal), Joint Work, Accepted

下方リスクを考慮したポートフォリオ最適化モデル

枇々木規雄

慶應経営論集 16 ( 2 ) 85 - 114 1999.02

Research paper (scientific journal), Single Work, Accepted

DEAにおける修正クロス効率値を用いた評価法

枇々木規雄

Journal of the Operations Research Society of Japan (日本オペレーションズ・リサーチ学会)  41 ( 2 ) 229 - 244 1998.06

Research paper (scientific journal), Single Work, Accepted

目標ベクトル法で想定する効用関数に関する考察

HIBIKI NORIO

日本経営工学会誌 46 ( 6 ) 599 - 604 1996.02

Research paper (scientific journal), Single Work, Accepted

DEAにおけるスラックを考慮した効率性の評価法

HHIBIKI NORIO

オペレーションズ・リサーチ 40 ( 12 ) 686 - 690 1995.12

Research paper (scientific journal), Single Work, Accepted

包絡分析法(DEA)における仮想入出力値を用いた事業体の経営効率の特徴づけと順序づけ

福川忠昭, 梁瀬航太郎, 枇々木規雄, 河村二郎

慶應経営論集 12 ( 3 ) 205 - 214 1995.03

Research paper (scientific journal), Single Work, Accepted

本支店ALMモデルによる銀行のリスク管理

枇々木規雄, 福川忠昭

経営情報学会誌 (日本経営情報学会)  3 ( 2 ) 1 - 11 1995.01

Research paper (scientific journal), Joint Work, Accepted

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銀行の本支店を考慮したより実際的な問題として、ALM問題を定式化し、最適方策を見いだした。(11頁)

通貨別(多通貨)ALMモデルによる銀行のリスク管理

枇々木規雄, 福川忠昭

日本経営工学会誌 (日本経営工学会)  45 ( 2 ) 110 - 117 1994.06

Research paper (scientific journal), Joint Work, Lead author, Corresponding author, Accepted

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多通貨を取り扱う場合の銀行のALM問題を定式化し、目標計画モデルによって多期間に渡る最適な方策を導くことができた。(8頁)

多目標単純リコース確率計画ALMモデルの数値実験による考察

枇々木規雄, 福川忠昭

管理会計学 (日本管理会計学会)  2 ( 2 ) 95 - 109 1993.12

Research paper (scientific journal), Joint Work, Lead author, Corresponding author, Accepted

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リコース確率計画モデルに対し、具体的な数値実験を行い、モデルが有用であることを示した。(15頁)

銀行のリスク管理のための多目標単純リコース確率計画ALMモデル

枇々木規雄, 福川忠昭

管理会計学 (日本管理会計学会)  2 ( 2 ) 47 - 66 1993.12

Research paper (scientific journal), Joint Work, Lead author, Corresponding author, Accepted

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銀行のALM問題を確率計画モデルにより定式化を行い、不確実性を考慮した場合の最適方策を導くことができた。(20頁)

多期間ALMモデルの数値実験による考察

枇々木規雄, 福川忠昭

管理会計学 (日本管理会計学会)  2 ( 1 ) 71 - 88 1993.07

Research paper (scientific journal), Joint Work, Lead author, Corresponding author, Accepted

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多期間ALM問題に対し、具体的な数値実験を行い、モデルが有用であることを示した。(18頁)

多期間ALMモデルによる銀行のリスク管理

枇々木規雄, 福川忠昭

管理会計学 (日本管理会計学会)  2 ( 1 ) 3 - 22 1993.07

Research paper (scientific journal), Joint Work, Lead author, Corresponding author, Accepted

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銀行のALM問題を多期間に渡ったモデル化を行い、より良い方策を導くことができる方法論を示した。(20頁)

ALM(資産負債管理)の考え方に基づく銀行のリスク管理へのモデル・アプローチ

枇々木規雄, 福川忠昭

Journal of the Operations Research Society of Japan 35 ( 6 ) 319 - 343 1992.12

Research paper (scientific journal), Joint Work, Lead author, Corresponding author, Accepted

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銀行の資産負債管理(ALM)を目標計画モデルにより定式化し、具体的な最適方策を導き、リスクとリターンの関係を表すことができた。（25頁)

ALM(資産負債管理)による銀行の金利変動リスクの管理

枇々木規雄, 福川忠昭

慶應経営論集 9 ( 1 ) 1 - 15 1991.03

Research paper (scientific journal), Joint Work, Lead author, Corresponding author, Accepted

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ALM手法のリスク尺度である金利ギャップを修正し、銀行のリスク管理に適用できることを示した。(15頁)

Optimal asset allocation with risk-adjusted implied return distribution based on the recovery theorem

YUTA HIBIKI, TAKUYA KIRIU, HIBIKI NORIO

Proceedings of the 20th Asia Pacific Industrial Engineering & Management Systems Conference  2019.12

Research paper (international conference proceedings), Joint Work, Last author, Accepted

Time-series analysis of truncated realized volatility

TAKEHIRO YAMAMOTO, HIBIKI NORIO

Proceedings of the 20th Asia Pacific Industrial Engineering & Management Systems Conference  2019.12

Research paper (international conference proceedings), Joint Work, Accepted

Asset Allocation with Factor-based Risk Parity Strategy

HIROTAKA KATO, HIBIKI NORIO

Proceedings of the 19th Asia Pacific Industrial Engineering & Management Systems Conference  2018.12

Research paper (international conference proceedings), Joint Work, Accepted

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

SHUMPEI SAKURAI, HIBIKI NORIO

Proceedings of the 19th Asia Pacific Industrial Engineering & Management Systems Conference  2018.12

Research paper (international conference proceedings), Joint Work, Accepted

Estimation decay kernel of transient market impact using multi-dimensional Hawkes process

TOMOKI OKADA, HIBIKI NORIO

Proceedings of the 19th Asia Pacific Industrial Engineering & Management Systems Conference  2018.12

Research paper (international conference proceedings), Joint Work, Accepted

An Optimal Execution Model with S-shaped Temporary and Transient Market Impacts

YUHEI ONO, HIBIKI NORIO

Proceedings of the 19th Asia Pacific Industrial Engineering & Management Systems Conference  2018.12

Research paper (international conference proceedings), Joint Work, Accepted

Dynamic Optimal Execution Models with Transient Market Impact and Downside risk

YUHEI ONO, YOSHIKI SAKURAI, HIBIKI NORIO

Proceedings of the 18th Asia Pacific Industrial Engineering & Management Systems Conference  2017.12

Research paper (international conference proceedings), Joint Work, Accepted

Generating the dynamic life tables modified by subjective indices for retirement planning

NOZOMI ITO, HIBIKI NORIO

Proceedings of the 18th Asia Pacific Industrial Engineering & Management Systems Conference  2017.12

Research paper (international conference proceedings), Joint Work, Accepted

Estimating Forward Looking Return Distribution with the Generalized Recovery Theorem

MASATAKA ITO, TAKUYA KIRIU, HIBIKI NORIO

Proceedings of the 18th Asia Pacific Industrial Engineering & Management Systems Conference  2017.12

Research paper (international conference proceedings), Joint Work, Accepted

Asset Allocation Model with Tail Risk Parity

HIROTAKA KATO, HIBIKI NORIO

Proceedings of the 18th Asia Pacific Industrial Engineering & Management Systems Conference  2017.12

Research paper (international conference proceedings), Joint Work, Accepted

Multi-period Optimization Model for Retirement Planning with Private Pension and Life Insurance

MASAHIRO SHIBAHARA, HIBIKI NORIO

Proceedings of the 18th Asia Pacific Industrial Engineering & Management Systems Conference  2017.12

Research paper (international conference proceedings), Joint Work, Accepted

Credit Scoring Model for Business Start-ups

OGI KENZO, YUICHI UTSUMI, HIBIKI NORIO

Proceedings of the 17th Asia Pacific Industrial Engineering & Management Systems Conference  2016.12

Research paper (international conference proceedings), Joint Work, Accepted

Simulation Analysis for Evaluating Risk-sharing Pension Plans

HIBIKI NORIO, ONO MASAAKI

IPEBLA, IACA, PBSS & IAAHS Joint Conference (St.John's Colloquium 2016)  2016.06

Research paper (conference, symposium, etc.), Joint Work, Lead author, Corresponding author

Estimating Forward Looking Distribution with the Ross Recovery Theorem

KIRIU TAKUYA, HIBIKI NORIO

Proceedings of the 16th Asia Pacific Industrial Engineering & Management Systems Conference  2015.12

Research paper (international conference proceedings), Joint Work, Accepted

Effect of Firm Age in Expected Loss Estimation for Small Sized Firms

OGI KENZO, TOSHIRO MASAHIRO, HIBIKI NORIO

Proceedings of the 16th Asia Pacific Industrial Engineering & Management Systems Conference  2015.12

Research paper (international conference proceedings), Joint Work, Accepted

A Model for Managing Interest Rate Risk in the Banking Book: A comparison between a modified earnings-based approach and economic value approach

IWAKUMA JUNTA, HIBIKI NORIO

Proceedings of the 16th Asia Pacific Industrial Engineering & Management Systems Conference  2015.12

Research paper (international conference proceedings), Joint Work, Accepted

Multi-Period Optimization Model for Retirement Planning

HIBIKI NORIO, OYA WATARU

The Third World Risk and Insurance Economics Congress  2015.08

Research paper (international conference proceedings), Joint Work, Accepted

Effect of Firm Age in Credit Scoring Model for Small Sized Firms

OGI KENZO, TOSHIRO MASAHIRO, HIBIKI NORIO

Proceedings of the 15th Asia Pacific Industrial Engineering & Management Systems Conference  2014.10

Research paper (international conference proceedings), Joint Work, Accepted

Multi-Period Investment Policy for Corporate Pension Fund with Sponsoring Company

MUNEKI KAWAGUCHI MUNEKI, NORIO HIBIKI

The 18th Annual Conference of The Asia-Pacific Risk and Insurance Association  2014

Research paper (international conference proceedings), Joint Work

Optimal Symmetric No-trade Ranges in Asset Rebalancing Strategy with Transaction Costs － An application to the Government Pension Investment Fund in Japan －

Norio Hibiki and Rei Yamamoto

The 17th Annual Conference of The Asia-Pacific Risk and Insurance Association  2013.07

Research paper (international conference proceedings), Joint Work

Dynamic Asset and Liability Management Models for Pension Systems - The Comparison between Multi-period Stochastic Programming Model and Stochastic Control Model -

Muneki Kawaguchi and Norio Hibiki

The 13th Annual Conference of The Asia-Pacific Risk and Insurance Association  2009.07

Research paper (conference, symposium, etc.), Joint Work

An Extension of DEA to New Branch Planning Problem

J.Kawamura, N.Hibiki and T.Fukukawa

Proceedings of APORS'94    557 - 564 1995

Research paper (international conference proceedings), Joint Work, Accepted

A Multi-Goal Programming Model Approach for Financial Risk Management Based on Asset Liability Management (ALM)

N. Hibiki and T. Fukukawa

Proceedings of APORS'91  1992.12

Research paper (international conference proceedings), Joint Work, Accepted

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銀行のALM問題に必要な要因を取りあげ、それを目標計画モデルにより定式化し、具体的な最適方策を導いた。（8頁)

126 ルール: 積立投資の複利効果を概算する簡単な計算ルール

枇々木 規雄

日本FP学会ニュースレター 4 ( 2 )  2021.12

Single Work

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

伊藤 希, 枇々木 規雄

ファイナンシャル・プランニング研究  ( 18 ) 4 - 21 2019.03

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

多期間最適資産形成モデルとFPツールの開発

枇々木 規雄

ファイナンシャル・プランニング研究 (日本FP学会)   ( 11 ) 16 - 41 2012.03

Research paper (scientific journal), Single Work

シミュレーション型多期間確率計画モデルに対する数値実験による考察

枇々木 規雄

日本金融・証券計量・工学学会, 2002年夏季大会    81 - 100 2002.06

Research paper (conference, symposium, etc.), Single Work

多期間確率計画モデルの年金ALMへの適用

多田羅智之, 枇々木規雄

日本金融・証券計量・工学学会, 2001年夏季大会    350 - 366 2001.07

Research paper (conference, symposium, etc.), Joint Work

市場リスクと信用リスクを考慮した銀行の資産負債管理に対する確率的最適化モデル

齋藤直紀, 枇々木規雄

日本金融・証券計量・工学学会, 2001年夏季大会    330 - 349 2001.07

Research paper (conference, symposium, etc.), Joint Work

追加型DEAシステム

枇々木規雄, 清野敦史, 生田目崇, 鳥本茂

オペレーションズ・リサーチ 46 ( 6 ) 307 - 312 2001.06

Research paper (scientific journal), Joint Work