t VaR ( vs 5 t ) t ( ) / 16

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1 ( ) / 16

2 t VaR ( vs 5 t ) t ( ) / 16

3 () Crouhy (2008) Table: ( ) / 16

4 VaR (2010) Table: ( ) / 16

5 Tang and Valdez(2006) 5 t Brockmann and Kaklbrener(2010) 5 t (2015) 3 t ( ) / 16

6 n F F 1,, F n F (x 1,, x n ) = C(F 1 (x 1 ),, F n (x n )) (1) C( ) t Σ Σ α α α ν (2013) Figure: 2 t ( ) 1 VaR ( ) / 16

7 2 t C- f (x 1, x 2, x 3, x 4, x 5 ) = f 1 (x 1 )f 2 (x 2 )f 3 (x 3 )f 4 (x 4 )f 5 (x 5 ) c 12 {F 1 (x 1 ), F 2 (x 2 )}c 13 {F 2 (x 2 ), F 3 (x 3 )} c 14 {F 3 (x 3 ), F 4 (x 4 )}c 15 {F 4 (x 4 ), F 5 (x 5 )} c 23 1 {F (x 2 1 ), F (x 3 1 )}c 24 1 {F (x 2 1 ), F (x 4 1 )} c 25 1 {F (x 2 1 ), F (x 5 1 ) c {F (x 3 12 ), F (x 4 12 )}c {F (x 3 12 ), F (x 5 12 )} c {F (x ), F (x )} Figure: 5 C- 5 C- T 1 T 2 ( ) / 16

8 1 2 3 vs 5 t 4 5 VaR 6 AIC Menu 1 VaR 2 VaR 3 ( ) / 16

9 itraxx Japan(CDS) 350 TOPIX Table: ( ) ( ) / 16

10 vs 5 t ) 4 Vasicek t Figure: ( ) / 16

11 1 ( ) FX-JGB t TOPIX-FX 3819 TOPIX-TNote 7177 a a param1 TOPIX-CDS t TOPIX-FX t TOPIX-Tnote t TOPIX-JGB t CDS-FX t CDS-Tnote t CDS-JGB t FX-Tnote t FX-JGB Tnote-JGB t param1 TOPIX-CDS TOPIX-FX 0499 TOPIX-Tnote 0303 TOPIX-JGB 0360 CDS-FX CDS-Tnote CDS-JGB FX-Tnote 0456 FX-JGB 0290 Tnote-JGB Table: 5 t AIC ( ) / 16

12 1 ( ) param1 TOPIX-CDS TOPIX-FX t TOPIX-Tnote TOPIX-JGB CDS-FX CDS-Tnote CDS-JGB FX-Tnote t FX-JGB Tnote-JGB param1 TOPIX-CDS TOPIX-FX 0692 TOPIX-Tnote 0412 TOPIX-JGB 0421 CDS-FX CDS-Tnote CDS-JGB FX-Tnote 0475 FX-JGB 0426 Tnote-JGB Table: 5 t ( ) / 16

13 1 VaR VaR VaR 3 t a 990 VaR a t t(ν = 3) AIC LL AIC LL t Table: VaR AIC Value at Risk(VaR) 1 ( ) / 16

14 2 VaR 3 t VaR VaR 3 t t VaR t t(ν = 3) Table: ( ) / 16

15 TOPIX CDS FX t 2006/ / / /06 param1 param2 param1 param2 TOPIX-FX t TOPIX-CDS t TOPIX-CDS t TOPIX-FX t TOPIX-Tnote t TOPIX-Tnote t TOPIX-JGB t TOPIX-JGB t FX-CDS t CDS-FX t FX-Tnote t CDS-Tnote t FX-JGB CDS-JGB CDS-Tnote FX-Tnote t CDS-JGB FX-JGB t TNote-JGB t TNote-JGB t Table: ( ) / 16

16 VaR 3 t VaR t ( ) / 16

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