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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


Courses in AY 2018

  • 5123499 Financial Markets and Institutions
  • 5123500 Asset Valuation and Risk Management in Financial Institutions I
  • 5123501 Asset Valuation and Risk Management in Financial Institutions II


The University of Tokyo (B.A. in Nuclear Engineering)
The University of Tokyo (M.S. in Information Engineering)
Columbia University (M.A. in Mathematics specialized in Finance)
Kyoto University (Ph.D in Economics)
The Bank of Japan
Associate Professor, Department of Economics, Osaka University
Director, Supervisory Bureau, Financial Services Agency
Professor, GraSPP, The University of Tokyo


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


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