Satoshi YAMASHITA
Professor, Multidimensional Data Analysis Group, Department of Data Science
Phone: +81-50-5533-8500
E-mail: yamasita
Date of Birth: August, 1963
Education: Bachelor of Engineering, Dept. of Transportation Engineering, Kyoto Univ., 1987
Master of Engineering, Dept. of Civil Engineering, Kyoto Univ., 1989
Degree: Doctor of Engineering, Kyoto Univ., 1997.
Employment: 1992.4-1994.1 Research Associate, Department of Engineering, Kumamoto Univ.
1994.2-1997.6 Research Associate, Center for Information on Statistical Sciences, ISM
1997.7-2005.3 Associate Professor, Center for Information on Statistical Sciences, ISM
1998.3-1999.2 Visiting Associate Professor, Mussatussetsu Institute of Techonology
2001.4-present Special Research Fellow, Financial Research and Traning Center, Financial Services Agency of JAPAN
2005.4-present Associate Professor, Department of Data Science, ISM
Research
Fields:		 Financial Statistics, Risk Analysis
Research
Themes:		 Statistical Model for Credit Risk and BIS Reguration

Selected Papers
(1) Historical Fact-finding Study on Transportation and Spatial Abblomeration in Japan: 1884-1985, Memoirs of the Faculty of Engineering Kumamoto University, 38 (21) (1993), (co-authored).
(2) Simulation System and Analysis for Estimating the Effects of Immunization Timing, Technical Report of Kumamoto University, 41-2 (1993), 181-190, (co-authored).
(3) Uncertainty evaluation and delay avoidance in mode choice, Journal of Infrastructure Management and Planning, 536-IV-31 (1996), 59-68.
(4) The sensitivity analysis ALM (asset liability management) of pension fund, Journal of Simulation, 17 (4) (1998), 21-28, (co-authored).
(5) Subjective distribution of travel time to estimate traffic demand, The Behaviormetric Society of Japan, 24(2) (1997), 147-160, (co-authored).
(6) Vector ARMA time series model for short-term prediction of traffic demand, Journal of the Eastern Asia Society for Transportation Studies, 2 (4)(1997), 1247-1262, (co-authored).
(7) Airport Access Behavior of Travelers under Risk of Delay, Journal of the Eastern Asia Society for Transportation Studies, 2 (1) (1997), 193-205, (co-authored).
(8) The shape of travelers' utility function in estimating the travel demand, Proceedings of the Institute of Statistical Mathematics, 45 (1) (1997), 89-106.
(9) The Relationship between Subjective Travel Time and Traveler's Experience, Journal of the Eastern Asia Society for Transportation Studies, 3 (5) (1999), 181-197.
(10) Infinite period asset and liability management for pension fund, Proceedings of the Institute of Statistical Mathematics, 50 (2) (2002), 279-301.
(11) Estimation Probability of Default Using Credit Risk Data, Proceedings of the Institute of Statistical Mathematics, 50 (2) (2002), 241-258.
(12) Evaluation methods for credit risk model, Financial Research and Training Center Discussion Paper Series, 11 (2003).
(13) Statistical credit risk model for huge size database, Financial Research and Training Center Discussion Paper Series, 3 (2003).
(14) Credit risk evaluation models accounting the time dependence of financial ratios and its application to bankruptcy prediction, Financial Research and Training Center Discussion Paper Series, 15 (2004).
(15) Implied correlation of credit default, FSA Research Review, 1 (2004), 62-81.
(16) Relative evaluation method for models of estimate default probability, FSA Research Review, 2 (2005), 62-81.
(17) Measuring method for hazard term structure based on hazard model with time varying covariates, Proceedings of the Institute of Statistical Mathematics, 52 (1) (2005), 23-38.
(18) Analytical solutions for expected and unexpected losses with an additional loan, IMES Discussion paper series, 2007-E-21 (2007).

Selected Publications
(1) The Portfolio Management, Kinzai (1991).
(2) The Management Technology and Computer Programming, Kyoritsu-Shuppan (1996).
(3) Market Risk and VaR, Asakura-Shoten (2000).

Membership of Academic Societies
Japan Statistical Society, The Behaviormetric Society of Japan

Professional Services
Executive Committee of The Behavior metric Society of Japan (1997-1999), Technical Advisor of Nikko Security, Research Associate of Financial Services Agency

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