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Takaaki Koike

Observed name: Koike, Takaaki
ORCID: 0000-0002-7940-1418
Observed ORCID: 0000-0002-7940-1418
OpenAlex ID: A5041862606
Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations
2020 · Takaaki Koike, Marius Hofert · Risks · 15
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Estimation of risk contributions with MCMC
2019 · Takaaki Koike, Mihoko Minami · Quantitative Finance · 15
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Compatibility and Attainability of Matrices of Correlation-based Measures of Concordance
2019 · Marius Hofert, Takaaki Koike · Astin Bulletin · 13
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Measuring non-exchangeable tail dependence using tail copulas
2023 · Takaaki Koike, Shogo Kato, et al. · Astin Bulletin · 10
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Tail risk forecasting with semiparametric regression models by incorporating overnight information
2024 · Cathy W. S. Chen, Takaaki Koike, et al. · Journal of Forecasting · 9
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Avoiding zero probability events when computing Value at Risk contributions
2022 · Takaaki Koike, Yuri Saporito, et al. · Insurance Mathematics and Economics · 8
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On a Measure of Tail Asymmetry for the Bivariate Skew-Normal Copula
2023 · Toshinao Yoshiba, Takaaki Koike, et al. · Symmetry · 6
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Comparison of correlation-based measures of concordance in terms of asymptotic variance
2023 · Takaaki Koike, Marius Hofert · Journal of Multivariate Analysis · 5
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Matrix compatibility and correlation mixture representation of generalized Gini's gamma
2022 · Takaaki Koike, Marius Hofert · Canadian Journal of Statistics · 5
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Invariant correlation under marginal transforms
2024 · Takaaki Koike, Liyuan Lin, et al. · Journal of Multivariate Analysis · 2
Robust risk evaluation of joint life insurance under dependence uncertainty
2026 · Takaaki Koike · Annals of Operations Research · 1
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Tail copula representation of path-based maximal tail dependence
2026 · Koike, Takaaki, Hofert, Marius, et al. · arXiv (Cornell University) · 1
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Forecasting and backtesting gradient allocations of expected shortfall
2025 · Takaaki Koike, Cathy W.S. Chen, et al. · Insurance Mathematics and Economics · 1
Measuring and testing tail equivalence
2025 · Takaaki Koike, Shogo Kato, et al. · Journal of Multivariate Analysis · 1
Joint Mixability and Notions of Negative Dependence
2024 · Takaaki Koike, Liyuan Lin, et al. · Mathematics of Operations Research · 1
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Modality for scenario analysis and maximum likelihood allocation
2021 · Takaaki Koike, Marius Hofert · Insurance Mathematics and Economics · 1
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A Characterization of Measures of Concordance of Degree Two
2026 · Koike, Takaaki, Tsunekawa, Haruki · arXiv (Cornell University)
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Measuring multivariate maximal tail dependence
2026 · Koike, Takaaki, Hofert, Marius, et al. · arXiv (Cornell University)
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A new class of tail dependence measures and their maximization
2021 · Takaaki Koike, Shogo Kato, et al.
Tail concordance measures: A fair assessment of tail dependence
2021 · Takaaki Koike, Shogo Kato, et al. · arXiv (Cornell University)
Matrix compatibility and correlation representation of Gini's gamma
2020 · Takaaki Koike, Marius Hofert · arXiv (Cornell University)
Risk Analysis: Measures of concordance, their compatibility and capital allocation
2020 · Takaaki Koike · UWSpace (University of Waterloo)
Modality for Scenario Analysis and Maximum Likelihood Allocation
2020 · Takaaki Koike, Marius Hofert · RePEc: Research Papers in Economics
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Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations
2019 · Takaaki Koike, Marius Hofert · RePEc: Research Papers in Economics
Estimation of Risk Contributions with MCMC
2017 · Takaaki Koike, Mihoko Minami · RePEc: Research Papers in Economics
Works count: 26
Citation count: 94
H-index: 6
I10-index: 4
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