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MARUMO Kohei

Faculty: Graduate School of Humanities and Social Sciences TEL:
Position: Associate Professor ■FAX:
Address: 255 Shimo-Okubo, Sakura-ku, Saitama City, Saitama 338-8570, JAPAN ■Mail Address:
■Web site:

Profile

Assigned Class

Faculty of Economics

Academic Background

Graduate School
Queensland University of Technology Australia , (Doctor course , School of Economics and Finance , Faculty of Business) , 2007(Completed)
The University of Oxford , (Master course , MSc in Applied , Department of Statistics) , 2003(Completed)
University of Tokyo , (Master course , Mathematical Engineering , Faculty of Engineering) , 1997(Completed)
College
University of Tokyo , 1995(Graduated)
Degree
PhD in Mathematical Sciences , Queensland University of Technology Australia
MSc in Applied Statistics , The University of Oxford United Kingdom
Master of Engineering , University of Tokyo

Research

Books, Articles, etc.

Articles
A Non-parametric Method for Calculating Conditional Stressed Value at Risk
,Statistics and Economics,14(5):42--48 2017
Kohei Marumo

On optimal smoothing of density estimators obtained from orthogonal polynomial expansion methods
,Journal of Risk,18(3):47-76 2016
Kohei Marumo and Rodney C Wolff

欧州債務危機と証券市場 ― MMLR と CDS を中心に
,個人金融,Vol. 8(No. 2):63-72 2013
丸茂 幸平, 相沢 幸悦

Presentation
Price Spikes in Electricity Markets and Conditional Price Distributions
第15回ノンパラメトリック統計解析とベイズ統計,第15回ノンパラメトリック統計解析とベイズ統計:179-189 291403
Kohei Marumo

Risk Measurement for Investment Funds
第20回ノンパラメトリック統計研究集会 201903
丸茂 幸平

Density estimation with orthogonal expansion under constraints
第17回ノンパラメトリック統計解析とベイズ統計,第17回ノンパラメトリック統計解析とベイズ統計:79-86 201603
Kohei Marumo

エルミート展開による同時密度関数とコピュラの近似
第13回ノンパラメトリック統計解析とベイズ統計,第13回ノンパラメトリック統計解析とベイズ統計:33-64 201203
丸茂 幸平

Others
A Non-parametric Method for Approximating Joint Densities and Copula Functions for Financial Markets

Density Approximation with Orthogonal Expansions Under Constraints

Research Activities

Journal Editorial Board
2015-2017 , Computational Statistics, Springer
Journal Reviewer
2013-2013 , Journal of Risk
2008-2008 , Quantitative Finance
Overseas Research Fellowship
2014-2015 , Risk measurement with non-parametric methods