Symposia (open) , RIMSFMA2023
Workshop on Financial Modeling and Analysis
PeriodVenue
Organizer

August 30 – September 1, 2023
Research Institute for Mathematical Sciences, Kyoto University
Motoh Tsujimura, Doshisha University
Makoto Goto, Tokyo University of Science

August 30, Wednesday

12：55－13：00

Opening Address

Session 1 (Chair: Toshinao Yoshiba, Tokyo Metropolitan University)

13：00－13：40
Simulation model for financial system-wide stress
Uratani Tadashi (Hosei University)
13：40－14：20
Measuring Economic Policy Uncertainty via Machine Learning
Jun Tsuchiya* (Tokyo University of Science), Kazuya Ito (National Graduate Institutefor Policy Studies), and Ryuta Takashima (Tokyo University of Science)

Session 2 (Chair: Motoh Tsujimura, Doshisha University)

14：35－15：15
Analysis of credit cycle fluctuation using credit event intensity modelJun Hironaka (University of Tsukuba)
15：15－15：55
Tail dependence of elliptical copulas and the financial risk management
Toshinao Yoshiba (Tokyo Metropolitan University)
16：00－16：40
Risk Bearing Capacity and Market Liquidity under Asymmetric Information
Kiichi Kitajima* (Hitotsubashi University/ Mitsubishi UFJ Trust Investment
Technology Institute Co., Ltd.) and Katsumasa Nishide (Hitotsubashi University)1August 31, Thursday
Session 3 (Chair: Michi Nishihara, Osaka University)

10：00－10：40
Notes on Pandemic Options
Yuto Kitamura* (Tokyo University of Science), Makoto Shimoshimizu (TokyoUniversity of Science), and Makoto Goto (Tokyo University of Science)
10：40－11：20
Optimal Lockdown Decisions of the Stochastic SIR Model Controlling Medical
Resources
Kyoko Yagi (Tokyo Metropolitan University), Kimitoshi Sato (Kanagawa University),
and Katsushige Sawaki*

Session 4 (Chair: Hiroshi Ishijima, Chuo University)

13：00－13：40
The effects of an earnings-based covenant on capital structure and firm value
Michi Nishihara* (Osaka University) and Takashi Shibata (Tokyo MetropolitanUniversity)
13：40－14：20
Illiquidity default or insolvency default
Yuan Tian (Ryukoku University)

Session 5 (Chair: Yuan Tian, Ryukoku University)

14：35－15：15
CSR Investment and Asset Returns -Real Option ApproachYutaro Oga* (Tokyo University of Science), Kazuya Ito (National Graduate Institutefor Policy Studies), and Ryuta Takashima (Tokyo University of Science)
15：15－15：55
A U-Shaped Curve Hypothesis on the Relationship between Corporate ESG activityand Financial Performance
Akira Maeda* (The University of Tokyo) and Hiroshi Ishijima (Chuo University)
16：00－16：40
A Note on ESG CAPM and Carbon Reduction Index Funds
Hiroshi Ishijima* (Chuo University), Masato Yamamoto (Yale University), and Akira
Maeda* (The University of Tokyo)

2

September 1, Friday
Session 6 (Chair: Goto Makoto, Tokyo University of Science)

10：00－10：40
Performance of benchmark execution algorithms and optimal execution strategies
under various market conditions
Seiya kuno (Doshisha University)
10：40－11：20
Applications of Orlicz risks to resource and environmental problems
Hidekazu Yoshioka* (Japan Advanced Institute of Science and Technology) and MotohTsujimura (Doshisha University)

Session 7 (Chair: Takashi Shibata, Tokyo Metropolitan University)

13：00－13：40
On the Electricity Spot Prices of Japan using Multi-factor Models
Natsumi Ochici (University of Hyogo)
13：40－14：20
The Impact of Commodity Currencies: Exporting Resource Countries vs. Importing
Resource Countries
Hiroyuki Okawa (Kobe University)

Session 8 (Chair: Seiya kuno, Doshisha University)

14：35－15：15
Investment timing, upper reflecting barrier, and debt-equity financing
Takashi Shibata* (Tokyo Metropolitan University) and Michi Nishihara (OsakaUniversity)
15：15－15：55
Price regulation and capital investment under uncertainty
Motoh Tsujimura *(Doshisha University), Goto Makoto (Tokyo University of Science),
Ryuta Takashima (Tokyo University of Science), and Hidekazu Yoshioka (Japan
Advanced Institute of Science and Technology)

15：55－16：00

Closing Address3