Katsuhiro Tanaka
Katsuhiro Tanaka research interstes are in mathematical optimization for financial engineering. Recently Katsuhiro Tanaka’s work is focused on stress testing and reverse stress test as well as mixed-integer programming and semi-definite programming.
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Articles by Katsuhiro Tanaka
Forecasting scenarios from the perspective of a reverse stress test using second-order cone programming
This paper proposes a model for forecasting scenarios from the perspective of a reverse stress test using interest rate, equity and foreign exchange data.