Create SECURITY.md

SECURITY.md

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+<!--- Licensed to the Apache Software Foundation (ASF) under one -->
+<!--- or more contributor license agreements.  See the NOTICE file -->
+<!--- distributed with this work for additional information -->
+<!--- regarding copyright ownership.  The ASF licenses this file -->
+<!--- to you under the Apache License, Version 2.0 (the -->
+<!--- "License"); you may not use this file except in compliance -->
+<!--- with the License.  You may obtain a copy of the License at -->
+
+<!---   http://www.apache.org/licenses/LICENSE-2.0 -->
+
+<!--- Unless required by applicable law or agreed to in writing, -->
+<!--- software distributed under the License is distributed on an -->
+<!--- "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY -->
+<!--- KIND, either express or implied.  See the License for the -->
+<!--- specific language governing permissions and limitations -->
+<!--- under the License. -->
+
+# Security Policy
+
+## Reporting a Vulnerability
+The Apache Software Foundation takes a very active stance in eliminating security problems and denial of service attacks against its products.
+
+We strongly encourage folks to report such problems to our private security mailing list first, before disclosing them in a public forum.
+
+For instructions how to report a security vulnerability, please consult our [security guide](https://mxnet.apache.org/api/faq/security).