About the Research Advisors and Research Fellows

Introduction of the Research Advisors and Research Fellows.

• Takeaki Kariya, PhD., Senior Research Advisor
• Daisuke Nakazato, Research Advisor
• Hiroshi Tsukada, Research Fellow
• Akihiko Takahashi, Research Fellow

I retired from 23 and half years of service with Hitotsubashi University, and became a board member of Mizuho-DL Financial Technology Co., Ltd. in October 1998, when the environment surrounding financial markets was extremely difficult. In 1993, recognizing the importance of financial engineering in the industrial arena, I founded the "Japanese Association of Financial Econometrics and Engineering (JAFEE)" as a bridge between academics and industry. In 10 years since then, having been Executive Financial Advisor of this company, I became head of the Research Center for Financial Engineering at the Institute of Economic Research of Kyoto University, and later became Head researcher of Meiji University, Graduate School of Global Business. Through the above experiences, I have come to a conclusion as to this company's position in the Japanese financial industry as follows.
The competitiveness of Japan's financial industry in the international financial markets have been questioned. The cornerstone of its competitiveness is the ability to create and to develop effective "financial products" and "financial schemes" responding to various types of business needs from corporate, household and government needs, as well as to recognize, to analyze and to understand the complex and multi-layered structure of risk⁄return relationship in the economy and finance, which have been developing as globalization accelerates. In reality, effective financial products and schemes make it possible for each economic entity to make optimal choices related to risk, return and time position in their economic activities. Financial functions symbolized by credit risk products and securitization, which create a new trend of risk⁄return relationship as they evolve, revitalize socio-economy and are considered to be a completion process of an incomplete system.
In the investment banking in particular, competitiveness equals the ability to create effective products and schemes, and pioneering research and development efforts of such products and structures in the accelerating evolution and globalization process will be the key to securing competitive advantage. It is the ability to understand the evolutionary trend of economy, finance and industry and to clarify product concepts, and also the ability to develop financial technology in implementing such concepts. Latter ability encompasses a wide range of technologies related to product pricing, risk management, securitization, and investment product development, based on portfolio theory, derivative products theory, statistical theory, etc. Such technologies are also applied in the area of ERM (Enterprise Risk Management), and are effective in actual business management as well.

From this perspective, I believe that our company is a front running, financial-technology company ranked as a number one in Japan, operating in the domain of implementation on the foundation of basic financial knowledge of banking, insurance (life and non-life) and securities businesses. We are, indeed, a technology group with a high level of ability to provide the financial industry as a whole and corporations with not only an effective management of credit risk, market risk and operational risk, but also technological developments and product developments such as strategic ALM, investment products, derivative products, currency overlay and other risk-hedging products, in response to new regulatory environment such as Basel II and to globalization. Furthermore, for general corporations, we conduct research and development of business risk management schemes, and provide services and technology products on business risk and asset value appraisal.
Personally I am grateful to have an opportunity, as an executive financial advisor, to always think about a wide range of leading-edge issues of the financial industry, and to be in an environment where I can find my own research themes from the actually existing problems. It is my wish to take full advantage of this environment, and to accumulate academic findings and to contribute to the overall Japanese financial industry, as well as to the company.

In recent times, executives who started out as "quants" have increased among top management of leading US and European financial institutions. This is especially noticeable in credit-related areas, the main operation in the finance industry. Our role is to keep ahead of the trends, make adaptations to suit the Japanese business style and train personnel, and to respond to new financial technology needs based on our experience of having always kept abreast of the changing demands of the time.
Actuaries have a long history and experience of being involved in insurance industry management, a style which matches the current financial trends. Conversely, market dynamism such as mark-to-market valuation brings forth new insurance products. The business environment where a financial/securities conglomerate and life⁄non-life insurance companies are our shareholders gives rise to a synergy effect, which allows multi-faceted, positive stimulus to each other.
Reflecting our business philosophy which places emphasis on practicality, we have become a unique player in the Japanese financial industry in, for example, the risk management area with our technological foresight.
As a group of select few, we strive to pursue seemingly impractical theories, and turn them into practical technology. The environment for research and development is an ideal one that is made up of talented researchers including several PhDs.

I first learned about derivatives in years from 1989 to 90, when I was at Columbia University. Now already 40 years ago, I remember being so happy that the world had finally caught up with the probability integration theories that I had studied, which made me want to review my studies of probability theory.
Being at Mizuho-DL Financial Technology Co., Ltd. and experiencing the cutting edge of financial technology trends is really quite exciting. It is obvious that the financial theories taught at university economics departments are out of date. In Japan, the recognition of the importance of risks is improving considerably. Going forward, however, the control of risks will be more important than the measuring and modeling of risks both in theory and in practice.
If attempts are made to expand the dynamic programming method and the principle of the maximum value, which form the basics of risk control, when there is uncertainty, the situation will become technically quite complicated. Many unsolved problems remain, and the outlook is nothing but unclear. I am not sure how far I can go, but I will continue studies in this area, in hopes that my study will meet the demands of future business.

Currently Professor of Economics at the Graduate School of Economics, The University of Tokyo.
1985: joined the Industrial Bank of Japan; 1998: Long Term Capital Management; 1999: Associate Professor at the Graduate School of Mathematical Sciences, The University of Tokyo; 2003: Associate professor, Graduate School of Economics (same university); 2007: Professor of the same university.
Publications include, "New computational techniques for numerical problems in finance based on Malliavin calculus and asymptotic expansion approach" (Toyo Keizai Inc.), "On Validity of the Asymptotic Expansion Approach in Contingent Claim Analysis," Annals of Applied Probability, Vol.13, No.3, 914–952, 2003 (with Naoto Kunitomo), "Selection and Performance Analysis of Asia-Pacific Hedge Funds," The Journal of Alternative Investments, Winter, 2007 (with Takeshi Hakamada and Kyo Yamamoto)

For theories of financial engineering to take root in the financial industry

I am engaged in theoretical and experimental research related to mathematical finance and financial engineering at the University of Tokyo, Graduate School of Economics, and it is my belief that, in order for Japan's financial institutions to remain competitive with those of the rest of the world, it is vitally important for the advanced theories of mathematical finance to take root in business practices of Japan. It was because Mizuho-DL Financial Technology Co., Ltd. held this concept as the main theme of its business that I joined the company as a financial advisor.
In collaboration with colleagues in this company, we have already achieved results that are directly applicable to practical business in fields such as derivatives business. In fact, some of these results are already in the process of being published.
I am hopeful that in the future, a better relationship will be formed between the academic and business communities, so that the achievements of the academic world will become those of the business world, and that awareness of issues in the business world will be understood by academia.