{"created":"2023-09-13T08:38:48.376961+00:00","id":2000127,"links":{},"metadata":{"_buckets":{"deposit":"ab0cf945-690b-42a4-9625-5e77fca0122c"},"_deposit":{"created_by":8,"id":"2000127","owners":[8],"pid":{"revision_id":0,"type":"depid","value":"2000127"},"status":"published"},"_oai":{"id":"oai:chuo-u.repo.nii.ac.jp:02000127","sets":["442:1694589335845"]},"author_link":[],"item_10002_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2023-02-28","bibliographicIssueDateType":"Issued"},"bibliographicIssueNumber":"42","bibliographicPageEnd":"17","bibliographicPageStart":"3","bibliographic_titles":[{"bibliographic_title":"企業研究","bibliographic_titleLang":"ja"}]}]},"item_10002_description_19":{"attribute_name":"フォーマット","attribute_value_mlt":[{"subitem_description":"application/pdf","subitem_description_type":"Other"}]},"item_10002_description_5":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":" In the quantitative risk management, the estimation of risks plays an important step,and for this purpose, various kind of risk measures have been introduced so far. Value at Risk (VaR), which is defined normally on single random variable, is one of well employed risk measures. In this report, a new definition of copula-based conditional Value at Risk (CCVaR) is introduced, which is defined on multivariate random variables with copulas and real-valued. It is recognized that copula functions provide flexible tools to model possible nonlinear relations among several risk factors; the combination of VaR and copula gives a natural procedure to estimate risk of multivariate risk factors in a sense. We show several properties of this new copula-based risk measure. Empirical studies are also implemented, which verifies the usefulness of our CCVaR.\n Main contents of the present article are a summary of the part of the thesis by Andres Mauricio Molina Barreto (2020).","subitem_description_language":"en","subitem_description_type":"Abstract"}]},"item_10002_publisher_8":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"企業研究所","subitem_publisher_language":"ja"}]},"item_10002_rights_15":{"attribute_name":"権利","attribute_value_mlt":[{"subitem_rights":"この資料の著作権は、資料の著作者または学校法人中央大学に帰属します。著作権法が定める私的利用・引用を超える使用を希望される場合には、掲載誌発行部局へお問い合わせください。","subitem_rights_language":"ja"}]},"item_10002_source_id_9":{"attribute_name":"ISSN","attribute_value_mlt":[{"subitem_source_identifier":"1347-9938","subitem_source_identifier_type":"ISSN"}]},"item_10002_version_type_20":{"attribute_name":"著者版フラグ","attribute_value_mlt":[{"subitem_version_resource":"http://purl.org/coar/version/c_970fb48d4fbd8a85","subitem_version_type":"VoR"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"AM.モリナバレート","creatorNameLang":"ja"},{"creatorName":"アンドレス,マウリシオ,モリナ,バレート"},{"creatorName":"Andres,Mauricio,Molina ,Barreto"}]},{"creatorNames":[{"creatorName":"石村,直之","creatorNameLang":"ja"},{"creatorName":"イシムラ,ナオユキ"},{"creatorName":"ISHIMURA,Naoyuki"}]}]},"item_files":{"attribute_name":"ファイル情報","attribute_type":"file","attribute_value_mlt":[{"accessrole":"open_access","fileDate":[{"fileDateType":"Issued"}],"filename":"1347-9938-42-01.pdf","mimetype":"application/pdf","url":{"url":"https://chuo-u.repo.nii.ac.jp/record/2000127/files/1347-9938-42-01.pdf"},"version_id":"4b24d510-7d39-46a3-9c23-8ccc68370402"}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Value at Risk ","subitem_subject_language":"en","subitem_subject_scheme":"Other"},{"subitem_subject":" Conditional Value at Risk ","subitem_subject_language":"en","subitem_subject_scheme":"Other"},{"subitem_subject":" copula ","subitem_subject_language":"en","subitem_subject_scheme":"Other"},{"subitem_subject":" risk management","subitem_subject_language":"en","subitem_subject_scheme":"Other"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"jpn"}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourcetype":"departmental bulletin paper","resourceuri":"http://purl.org/coar/resource_type/c_6501"}]},"item_title":"Value at Risk の拡張とその応用","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Value at Risk の拡張とその応用","subitem_title_language":"ja"},{"subitem_title":"On an Extension of Value at Risk and Its Applications","subitem_title_language":"en"}]},"item_type_id":"10002","owner":"8","path":["1694589335845"],"pubdate":{"attribute_name":"PubDate","attribute_value":"2023-09-13"},"publish_date":"2023-09-13","publish_status":"0","recid":"2000127","relation_version_is_last":true,"title":["Value at Risk の拡張とその応用"],"weko_creator_id":"8","weko_shared_id":-1},"updated":"2023-09-14T04:29:59.934019+00:00"}