大学院新着ニュース

2021年03月22日

【究める vol.44】 Graduate Voice(Doctoral program at the Graduate School of Commerce)

モリナ バレット アンドレス マウリシオさん(商学研究科 博士後期課程 2020年度修了)

モリナ バレット アンドレス マウリシオ
Andres Mauricio Molina Barreto さん

2020年度に商学研究科 博士後期課程 商学専攻を修了し
博士(商学)を取得しました。

He completed his doctoral studies at the Graduate School of Commerce in the year 2020 and got Ph.D. Commerce.

<A title for a doctoral dissertation
Estimation of Value at Risk and Conditional Value at Risk

About your research in graduate school

Given that VaR is one of the most widely known measures of risk in the field of finance, Prof. Ishimura and I were interested in taking a fascinating route in our research by considering the estimation of Value at Risk (VaR) for the portfolio problem. Our evaluation is undertaken in two different approaches. The first is a standard way, while the second is a copula-based method. It is the latter approach that is particularly innovative, as we use copulas to analyze the dependence relationship between random variables. To put it simpler, a copula is a statistical measure that examines the association or dependence between many variables. Copulas also help to identify a different range of risks within finance, such as market risk, credit risk and operational risk. Our research has numerically shown that the copula-based method works better than the standard one. The computation of our method is much easier than alternatives, although there is still room to improve the model which I intend to do in the future.

What kind of place was the graduate school for you?

I can say that the Chuo University was a very important place to carry out my doctoral studies. My advisor Prof. Ishimura was very patient with me and the administrative staff was always very kind and always willing to attend to my doubts and requirements. At the beginning I was some anxious because my Japanese language proficiency is not outstanding but the environment at the school was comfortable to overcome these initial difficulties. The faculty is full of excellent researchers whose lectures helped me a lot to understand the topics of their classes. I am very grateful for the logistical and financial support for academic events such as congresses in Osaka and Nagoya.

About impressive events in graduate school

Enrolling in the Graduate School of Commerce allowed me to attend events such as international congresses and conferences. Thanks to this, I got more chances to meet with professors and graduate students from several universities and institutes around the world. It was a very valuable experience to listen the opinions of various researchers about my research.

About the course after completion

I plan to continue deepening my research topic as a postdoctoral researcher in this country. Certainly, there is still a lot of room for improvement of the proposed models and with this, not only help researchers in the area but also practitioners in the industry.

Massage for candidates

Making the decision to go to graduate school has been a big step for my future. It certainly has not been an easy road, but in the end, I think it has been worth it. Enrolling in the Graduate School of Commerce at Chuo University was a wonderful experience for my life and career. To future applicants, I wish you the best of luck and hope you enjoy your time at the university as much as I did.