研究者詳細 - 枇々木　規雄

論文 - 枇々木　規雄

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Herding effect of both global and local crises in BRICS countries

Tatomir M. and Hibiki N.

Journal of Economic Asymmetries 31 2025年06月

研究論文（学術雑誌）, 共著, 最終著者, 査読有り, ISSN 17034949

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

Kiriu T., Hibiki N.

International Review of Economics and Finance （International Review of Economics and Finance） 93 842 - 857 2024年05月

研究論文（学術雑誌）, 共著, 最終著者, 査読有り, ISSN 10590560

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年04月

研究論文（学術雑誌）, 共著, 最終著者, 査読有り

一括投資と積立投資に活用できる法則（ルール）

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）（ 23 ） 2 - 20 2024年03月

研究論文（学術雑誌）, 単著, 筆頭著者, 査読有り

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年08月

研究論文（学術雑誌）, 共著, 最終著者, 査読有り, ISSN 13872834

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年04月

研究論文（学術雑誌）, 共著, 査読有り

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金融リテラシーと投資行動－金融リテラシー調査データを用いた分析－

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）（ 22 ） 2 - 19 2023年03月

研究論文（学術雑誌）, 単著, 筆頭著者, 査読有り

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年01月

研究論文（学術雑誌）, 共著, 最終著者, 査読有り

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年06月

論文集(書籍)内論文, 共著, 最終著者, 査読有り

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年04月

研究論文（学術雑誌）, 共著, 査読有り

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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年12月

単著

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年10月

研究論文（学術雑誌）, 共著, 査読有り

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年04月

研究論文（学術雑誌）, 共著, 査読有り

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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年04月

研究論文（学術雑誌）, 共著, 査読有り

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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年10月

研究論文（学術雑誌）, 共著, 査読有り, ISSN 04534514

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年03月

研究論文（学術雑誌）, 査読有り

Time-series analysis of truncated realized volatility

TAKEHIRO YAMAMOTO, HIBIKI NORIO

Proceedings of the 20th Asia Pacific Industrial Engineering & Management Systems Conference 2019年12月

研究論文（国際会議プロシーディングス）, 共著, 査読有り

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年12月

研究論文（国際会議プロシーディングス）, 共著, 査読有り

公的年金の繰下げ受給と退職後の家計の長生きリスク

柴原聖大, 枇々木規雄

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年09月

研究論文（学術雑誌）, 共著, 査読有り

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年07月

研究論文（学術雑誌）, 共著, 査読有り

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年07月

研究論文（学術雑誌）, 共著, 査読有り

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年06月

研究論文（学術雑誌）, 共著, 査読有り

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年04月

研究論文（学術雑誌）, 共著, 査読有り

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年04月

研究論文（学術雑誌）, 共著, 査読有り

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年03月

研究論文（学術雑誌）, 共著

Asset Allocation with Factor-based Risk Parity Strategy

HIROTAKA KATO, HIBIKI NORIO

Proceedings of the 19th Asia Pacific Industrial Engineering & Management Systems Conference 2018年12月

研究論文（国際会議プロシーディングス）, 共著, 査読有り

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年12月

研究論文（国際会議プロシーディングス）, 共著, 査読有り

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年12月

研究論文（国際会議プロシーディングス）, 共著, 査読有り

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年12月

研究論文（国際会議プロシーディングス）, 共著, 査読有り

Dynamic Optimal Execution Models with Transient Market Impact and Downside risk

YUHEI ONO, YOSHIKI SAKURAI, HIBIKI NORIO