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東京大学公共政策大学院 | GraSPP / Graduate School of Public Policy | The university of Tokyo

内田 善彦 UCHIDA, Yoshihiko

教授 / Professor 内田 善彦UCHIDA, Yoshihiko

公共政策大学院

Courses in AY 2017

  • 5123499 Financial Markets and Institutions

略歴

1992
The University of Tokyo (B.A. in Nuclear Engineering)
1994
The University of Tokyo (M.S. in Information Engineering)
1999
Columbia University (M.A. in Mathematics specialized in Finance)
2003
Kyoto University (Ph.D in Economics)
1992-Present
The Bank of Japan
2005-2007
Associate Professor, Department of Economics, Osaka University
2014-2017
Director, Supervisory Bureau, Financial Services Agency
2017-Present
Professor, GraSPP, The University of Tokyo

研究分野

Asset Pricing, Financial Risk Management, Systemic Risk Analysis, Stress Testing, Financial Regulation, Numerical methods in Finance

主要研究業績

論文(papers):
1. 石川 達也、内田 善彦(2002)、「モンテカルロ法によるプライシングとリスク量の算出について─正規乱数を用いる場合の適切な実装方法の考察─」、金融研究、第21巻別冊第1号.
2. Masaaki Kijima and Yoshihiko Uchida (2005), ”A Markov model for valuing asset prices in a dynamic bargaining market,” Quantitative Finance, vol. 5, issue 3, pp.277-288.
3. 今村 悟、内田 善彦、高橋 明彦(2005)、「マリアバン解析を用いたオプションのリスク指標の数値計算について」、金融研究、第24巻別冊第1号.
4. Ryosuke Matsuoka, Akihiko Takahashi and Yoshihiko Uchida (2006), "A New Computational Scheme for Computing Greeks by the Asymptotic Expansion Approach," Asia-Pacific Financial Markets, Vol.11, pp.393-430.
5. Akihiko Takahashi and Yoshihiko Uchida(2006), "New Acceleration Schemes with the Asymptotic Expansion in Monte Carlo Simulation," Advances in Mathematical Economics, Vol.8, pp.411-431.
6. 内田 善彦(2012)、「経済資本を活用した金融機関の経営効率向上策」、金融研究、第31巻第4号.
7.Y.Sakurai and Y.Uchida (2013), "Rehypothecation dilemma: Impact of collateral rehypothecation on derivative prices under bilateral counterparty credit risk," Jounal of Banking & Finance, Vol.48, pp.361-373.
8.内田 善彦、菊池 健太郎、丹羽 文紀、服部 彰夫(2014)、「システミック・リスク指標に関するサーベイ:手法の整理とわが国への適用可能性」、金融研究、第33巻第2号.

ワーキング・ペーパー(working papers):
1.A. Hattori, K. Kikuchi, F. Niwa and Y.Uchida (2014) “A Survey of Systemic Risk Measures: Methodology and Application to the Japanese Market,” IMES discussion paper, 2014-E-03
2. Y. Uchida and D.Yoshikawa (2014) "Security prices under market clearing
conditions with finite number of issued shares," IMES discussion paper, 2014-E-04
3.T.Adachi and Y. Uchida (2015) “Variation of Wrong-Way Risk Management and Its Impact on Security Price Changes,” IMES discussion paper, 2015-E-11