untitled

untitled

!!! 10 1 110 88 7 9 91 79 81 82 87 6 5 90 83 75 77 12 80 8 11 89 84 76 78 85 86 4 2 32 64 10 44 13 17 94 34 33 107 96 14 105 16 97 99 100 106 103 98 63 at 29, 66 at 58 12 16 17 25 56

untitled

COPYRIGHT SOMPO JAPAN RISK MANAGEMENT, INC. 2009 1

リスクマネジメントにおける 定量評価手法について Various Risk Quantification Method in Risk Management 株式会社 損保ジャパン リスクマネジメント ERM事業部 阿知波 正道 Sompo Japan Risk Management, Inc. ERM Dept. Masamichi Achiwa GITA-JAPAN S 20TH ANNUAL

住友商事株式会社

Sumitomo Corporation 45 46 Sumitomo Corporation http://www.sumitomocorp.co.jp/company/ governance/detail01.html 2003 4 2003242008 7 12 2005 62 1 6 2003 6 15 32 1 36 811 Sumitomo Corporation 47 3 Web 2004

橡計画0.PDF

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 120. ( ) 620 250 29 30 31 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 Return on Risk Assets 57 58

Ⅰ．市場リスクの計測手法

1 2 3 4 { } n n 5 R R R R 1 6 7 8 9 , 10 11 12 13 14 15 T 16 T 17 18 19 20 21 22 23 99VaR 99 24 25 26 0.5 0.5 27 99 28 99 99 29 99 30 31 t-1 t-1 t-1 t-1 t-10 t-10 t-10 t-10 32 33 2 T 2 34 99 99 99 35 36

気象庁委託調査

ART - 103 1. (2-1) 2-1 : 61 20km 1 2 6 10km 6 12 7 1 100km 1 1 34 7 300km 7 3 3 1300km 1 *1 *1 6 3 *2 300km 6 *3 *1 15 3 GPV 15 *2 15 *3 16 *2 1 7 1 15 2. (1 ) 15 1 15 ( GPV=Grid Point Value) 104 1 / 2-1

リスクとは何か？

http://www.craft.titech.ac.jp/~nakagawa/dir2/lecture.html#tit2005_1 Agenda Value at Risk 2 3 TOPIX 10 95% 4 TOPIX or Value at Risk 5 TOPIX = log TOPIX N 6 7 N TOPIX x, x, 1 2, L x N 8 x = N 1 EXCEL AVERAGE

05-筋・骨格系

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

2016 3 11 ( ) 2016 3 11 1 / 16 t VaR ( vs 5 t ) t ( ) 2016 3 11 2 / 16 () Crouhy (2008) Table: ( ) 2016 3 11 3 / 16 VaR (2010) Table: ( ) 2016 3 11 4 / 16 Tang and Valdez(2006) 5 t Brockmann and Kaklbrener(2010)

2

1 2 3 4 5 6 7 8 9 10 , 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 1 63 64 65 66 67 68 2002

2010_真岡信組A-1-A.indd

21 DISCLOSURE 2010 227 3 3 4 4 4.5 6 7 8 8 9 10 11 14 15 15.16 1720 21 22.23 2426 27 28 30 3032 3335 36 37 38.39 4,161 1,1001 100 200 400 1131 500 50 600 55 700 2 22331 131 27310 222 11,083 73,743 24,635

子どもの教育格差 『青少年をめぐる諸問題　総合調査報告書』

2

1 ア イ 2 3 X1 X2 X3 X4 4 X5 X6 X7 X8 X9 X10 X11 5 X12 X13 X14 X15 X16 X17 X18 X1 X19 X20 X21 X21 6 X22 X23 X24 X25 X26 X19 X15 X27 X28 7 X29 X30 X31 X31 X14 8 X32 X33 X34 X35 X36 9 10 11 12 13 14 15 16

地震対策をはじめとする危機管理の社内マニュアル（危機管理計画書）のサンプル

36

36 37 38 P r R P 39 (1+r ) P =R+P g P r g P = R r g r g == == 40 41 42 τ R P = r g+τ 43 τ (1+r ) P τ ( P P ) = R+P τ ( P P ) n P P r P P g P 44 R τ P P = (1 τ )(r g) (1 τ )P R τ 45 R R σ u R= R +u u~ (0,σ

6/9-98-資生堂-前半AR-6.5pm

1998 1998 3 1998 1997 1996 620,910 39,278 16,868 588,572 42,898 19,152 560,821 37,012 17,507 1998 4,776,231 302,139 129,754 457,333 99,310 64,267 436,705 94,610 57,257 404,181 101,675 54,965 3,517,946

76 1 2

Microsoft Word - “‚“‡P.DOC

masaaki.shirakawa@boj.or.jp 99 J 3 1999 6 1 i 10 i E-mail: masaaki.shirakawa@boj.or.jp . -------------------------------------------------------------------------------------------- 1. ---------------------------------------------------------------------------------------

1

浜松 信用 金庫 12 ディスクロージャー 表紙 オモテ 212 7.4 ANZ4E2 中村 33 43 デジコン 2 校 1 CONTENTS 1 3 4 CSR 5 7 CSR 9 1 1 11 12 13 15 16 17 19 21 22 24 25 27 29 32 6 74 2 3 24 514 24 423 54 1 2 23 829 533 1 4 5 C S R 21 FHA212

UFJ

UFJ UFJ () UFJ UFJ 2002 7 2 82 UFJ 2002 9 UFJ 2002 7 22 83 84 UFJ 1 2 3 4 1 2 16 15 14 90 6 5 2002 7 22 85 UFJ 1 2 DC 1 2 3 4 3 2 1 3 2 1 2 1 2002 7 22 UFJ 2002 7 22 CEO 188 2 7 2 UFJ UFJ p 86 p 18 1 2002

三井生命の現状2015

22. 2762692 12612 15 276265 27626 618 27626 102645 2 1. 2.. 4. 1 2 4 5 6 7 1 1 1 2 2 4 4 5 6 7 24 5. 6. 7. 8. 9.8 10. 11. 1 2 1 4 5 6 7 2 1 2 1 1 1 1 2 2 25. 27 62647 2611 CCO CCO http://www.mitsui-seimei.co.jp/

II III II 1 III ( ) [2] [3] [1] 1 1:

2015 4 16 1. II III II 1 III () [2] [3] 2013 11 18 [1] 1 1: [5] [6] () [7] [1] [1] 1998 4 2008 8 2014 8 6 [1] [1] 2 3 4 5 2. 2.1. t Dt L DF t A t (2.1) A t = Dt L + Dt F (2.1) 3 2 1 2008 9 2008 8 2008

23回会社説明会資料（HP用）

FFG Part FFG 09 09 1 20074 Core Core Bank Bank 170 50 32 12 68 IT 4050 4050 Core Core Value Value Part Part 2006 3 06/3 06/12 06/3 30.0% 4.5% 25.5% 26.2% 0.7% 47,500 6,300 41,200 42,200

P.01 C Global Value Corp. PAT.P 2008'

Value Point system *1 2009. 2. 25 2009. 2. 25 C Global Value Corp. PAT.P 2008' P.01 C Global Value Corp. PAT.P 2008' C Global Value Corp. PAT.P 2008' P.03 P.06 C Global Value Corp. PAT.P 2008' C Global

AT A GLANCE INDIVIDUAL GROUP 63.72% 1, % At a Glance INSTITUTIONAL GROUP 34.26% % GLOBAL MARKETS GROUP 5.56% % 2

214 At a Glance 32 36 38 4 42 43 31 AT A GLANCE INDIVIDUAL GROUP 63.72% 1,293 32.4% 226 214 At a Glance INSTITUTIONAL GROUP 34.26% 695 76.26% 532 32 GLOBAL MARKETS GROUP 5.56% 112 4.2% 28 3 1% 1,5 5 1,

IT

IT 2013 2013 Sony Bank Disclosure 1 2 4 5 6 8 9 10 11 12 14 15 18 19 19 20 20 21 22 25 26 27 28 29 30 31 32 34 36 47 47 47 48 56 56 60 61 64 66 70 71 72 77 82 87 192 92 193 92 4 92 MONEYKit PostPet PostPet

VOl.1.indd

CVaR

CVaR 20 4 24 3 24 1 31 ,.,.,. Markowitz,., (Value-at-Risk, VaR) (Conditional Value-at-Risk, CVaR). VaR, CVaR VaR. CVaR, CVaR. CVaR,,.,.,,,.,,. 1 5 2 VaR CVaR 6 2.1................................................

橡\\Toro\c\USER_1\RAND\ARTICLE\TEXT.DVI

Value at Risk Technical Report No.98003 19, X, 1998 223-8522 3-14-1 TEL 045-563-1141 ext.3628 FAX 045-563-5979 E-mail hibiki@ae.keio.ac.jp 1 VaR(Value at Risk) VaR ( ) 99% 99% VaR VaR BIS ( ) 1 VaR VaR

() ( ) ( ) (1996) (1997) (1997) EaR (Earning at Risk) VaR ( ) ( ) Memmel (214) () 2 (214) 2

1 (Basel Committee on Banking Supervision, BCBS) (BCBS(24), BCBS(215) ) *1 ( ) ( (1997) (213a,b) ) 2 *1 (214) 1 () ( ) ( ) (1996) (1997) (1997) EaR (Earning at Risk) VaR 2 1 1 ( ) ( ) Memmel (214) () 2

災害リスクの計測と リスクカーブの活用（基礎編）

2009528 28 BCM) 4 5 4cm 8cm 1992 7 400 220 200 100 100 192385 5060 1985 10199222 2005/7/23M6.0 HP200166 8 http://www.jishin.go.jp/main/ http://www.bousai.go.jp/index.html 9 10 7.3 11 13 BCPBCM ( 14

Sony Bank 11j_Master_IKM.indd

2011 201161110 10 2011 2011 Sony Bank Disclosure 1 2 4 5 6 7 7 8 8 10 13 14 15 16 18 20 23 24 2010420117 25 26 27 30 41 41 41 42 50 50 54 54 58 60 64 65 66 71 76 82 83 84 86 19 2 87 19 3 87 MONEYKitMONEYKit

義務教育費国庫負担制度について

cf_19_0802

CREATOR' S FILE 6 b i z. t o p p a n. c o. j p / g a i n f o 2 vol.39 Aug.24, 2007 S H I R A I Y O S H I H I S A 19 No. 7 8 9 C R E AT O R ' S F I L E vol.39 2007824 1 101-0024 http://www.toppan.co.jp

01-._..

Journal of the Faculty of Management and Information Systems, Prefectural University of Hiroshima 2014 No.6 pp.43 56 43 The risk measure for resilience in the inventory control system Nobuyuki UENO, Yu

CONTENTS CSR

浜松信用 金庫 1 ディスクロージャー 表紙オモテ 21 7.8 132 L5 59925 9ABFPD 矢部 はましんは おかげさまで 平成22年4月に 創立6周年を迎えました 33 431 再校刷 創立 6 周年記念ロゴデザインについて はましんのコーポレートカラーを使ったハー トの形で お客様へ感謝の気持ちを表現 中 心にはましんイメージキャラクター はまた っち を配置しています 当金庫が

橡災害.PDF

1 2 3 4 5 6 7 8 9 10 11 12 2.1 2.2 2.2.1 13 2.2.2 2.2.3 14 2.3 2.3.1 2.3.2 all or nothing 2.4. 2.4.1 15 i) ii) iii) iv) 2.5 2.4.2 2.2 2.5 2.5.1 16 2.5.2 2.6 2.6.1 2.4 2.6.2 2.6.3 2.6.4 17 18 3.2.1 Hazard

- 1 - - 2 - - 3 - - 4 - - 5 - - 6 - - 7 - - 8 - - 9 - 1 2-10 - - 11 - 3-12 - 4 13 2-13 - - 14 - - 15 - - 16 - 5-17 - - 18 - - 19 - - 20 - 6 7-21 - - 22 - - 23 - - 24 - 1 2 64-25 - - 26 - 4 5-27 - 6 7-28

1 Tokyo Daily Rainfall (mm) Days (mm)

( ) r-taka@maritime.kobe-u.ac.jp 1 Tokyo Daily Rainfall (mm) 0 100 200 300 0 10000 20000 30000 40000 50000 Days (mm) 1876 1 1 2013 12 31 Tokyo, 1876 Daily Rainfall (mm) 0 50 100 150 0 100 200 300 Tokyo,

AT AT AF AT AF AT AF AF AT AF AT AF AF AT AT AT AF AT AT AT AF AT AT AT AT AF AT AF AT AF AT AF AF AT AT AF AF AT AF AT AF AT AF AF AF AF AF AT AT AT AF AF AF AT AT AF AT AT AF AF AT AF AF AF AT AF AT

text.dvi

Abstract JP Morgan CreditMetrics (1) () (3) (4) 1 3 3 4 4 5 10 6 16 1 1 BIS 1 3 1 BIS 1 BIS 1 3 ALM (1) Value at Risk () (3) RAROC (Risk Ajusted Return On Capital) (4) 3 5 6 31 99% (= p ) ~x X Prf~x Xg

HOKUSHU Co., Ltd. INOVAR Floor Architekutural Guide Var.8

HOKUSHU INOVAR Floor Architectural Guide HOKUSHU HOKUSHU Co., Ltd. INOVAR Floor Architekutural Guide Var.8 HOKUSHU Co., Ltd. INOVAR Floor Architekutural Guide Var.8 HOKUSHU Co., Ltd. INOVAR Floor Architekutural

24 H , ,210 1, , ,504 76,961 87, ,202 5,459 37, ,698 11,506 19, , , ,

HAMASHIN REPORT 2014 2425 3823 25 26619 13215 1 1 5 39 40 41 44 45 46 47 48 49 50 51 52 53 54 56 59 60 72 73 38 24 H25.3.31 16,906 246,210 1,433 254 2,000 446,504 76,961 87,707 239,202 5,459 37,173 817,698

冊子_H26-03A

1 : [ ] by kouyou_room 2014-02-28 22:18 Comments(6) Commented by at 2014-03-01 10:27 x 2 Commented by at 2014-03-01 10:29 x Commented by at 2014-03-01 10:54 x Commented by at 2014-03-01 14:50 x Commented

商品流動性リスクの計量化に関する一考察（その2）―内生的流動性リスクを考慮したストレス・テスト―

E-mail: shigeru_yoshifuji@btm.co.jp E-mail: fuminobu_otake@btm.co.jp Bangia et al. G Bangia et al. exogenous liquidity risk endogenous liquidity risk et al LTCMLong Term Capital Management Fed G G T

Tier1 Tier2 Tier3 2,337, ,800 2,152, ,037 68, , ,030,638 1,588,892 11, ,311 98,897 38, ,052 6,272,260 1 A 6,27

5225 1820 1. 323 78 2. 3. 30 236 Tier1 Tier2 Tier3 2,337,895 759,800 2,152,654 236,037 68,230 141,382 692 2,030,638 1,588,892 11,226 386,311 98,897 38,284 50 29,052 6,272,260 1 A 6,272,260 2 431,158 45

0120-193-877 We are Moving 12-34 0120-193-877 0120-193-877 P1 P2

IT

IT 2017 2017 Sony Bank Disclosure 1 2 4 5 6 8 8 8 9 10 10 11 12 14 14 14 15 15 16 16 19 19 20 22 22 23 24 26 26 28 37 37 37 38 44 44 47 48 50 52 56 57 58 60 65 74 82 19 2 84 19 3 84 4 84 MONEYKit PostPet

伊藤園中間ジホウ1211-広研

16 4 15 5 1 15 10 31 21 Our Vision and Value... 1... 2... 3... 4... 5... 6... 10... 13... 14... 15... 16 18 191 2 93,407 102,810 108,808 115,113 126,701 173,966 192,709 204,730 214,808 7,668 8,335 8,502

層化

(confounding) Confounding Exposure? Outcome Confounders adjustment (confounders) Not Confounding? 2 exposure 3rd factor 3rd factor NEJM 2000; 342: 1930-6. (adjustment) univariate or crude relative risk

MARCH 3 Photographer Tomii Yoshio

MARCH 3 AdobeAcrobatPDF MARCH 3 Photographer Tomii Yoshio Enterprise Risk Management http://www.alfresa.co.jp/ http://www.alfresa-system.com/ OCR Q. A. Q. A. Q. A. Q. A. Q. A. Q. Q. A. A.

小川　功／Ｐ５９‐６９

MS&AD MS&AD 2009 25,190 991 573 114,813 18,623 2010 25,414 210 54 114,450 16,333 223-781 -519-363 -2,289 [%] 0.9-78.8-90.5-0.3-12.3 3,21212.6% 2,73810

MS&AD MS&AD 2009 25,190 991 573 114,813 18,623 2010 25,414 210 54 114,450 16,333 223-781 -519-363 -2,289 [%] 0.9-78.8-90.5-0.3-12.3 3,21212.6% 2,73810.8% 12,89550.7% 25,414 3,54514.0% 8943.5% 2,1278.3%

2011 2011 2011 100/m 0.003/ 0.0005 / 0.01/ 0.01 / 0.01/ 0.05 / 0 0.0003 0.00005 0.001 0.001 0.001 0.005 0 0.0003 0.00005 0.001 0.001 0.001 0.005 0 0.0003 0.00005 0.001 0.001 0.001 0.005 0 0.0003 0.00005

1 88

NewsLetter6

62007No. Plant Organelles Plant Organelles 1 Preface Contents 2 3 4 5 6 7 8 9 Information Meeting Report 10 11 12 13 Essay 62007No. 14 Minireview 15 16 Calendar 17 var2 var2 GFP Preface 1 Plant Organelles

Tf dvi

/Review A Trial of Establishing an Approach of Hisashi TANAKA Abstract This paper is trying to establish an approach of the Integrated Risk Management which is focusing especially on the methodology and

Copyrght 7 Mzuho-DL Fnancal Technology Co., Ltd. All rghts reserved.

766 Copyrght 7 Mzuho-DL Fnancal Technology Co., Ltd. All rghts reserved. Copyrght 7 Mzuho-DL Fnancal Technology Co., Ltd. All rghts reserved. 3 Copyrght 7 Mzuho-DL Fnancal Technology Co., Ltd. All rghts

光学基金報告会資料 最終版.ppt

2012 5 17 AIJ 2012/5/17 Oval Risk-Management Services Inc., All Rights Reserved 1 2012/5/17 Oval Risk-Management Services Inc., All Rights Reserved 2 22 No.93 2011 November 3 86 63 1 49 9 18 56

学習内容と日常生活との関連性の研究－第２部－第６章

378 379 10% 10%10% 10% 100% 380 381 2000 BSE CJD 5700 18 1996 2001 100 CJD 1 310-7 10-12 10-6 CJD 100 1 10 100 100 1 1 100 1 10-6 1 1 10-6 382 2002 14 5 1014 10 10.4 1014 100 110-6 1 383 384 385 2002 4

2 4 8 UFJ24 1 14 24 UFJ 3 CS 32 IT 34 37 ALM 57 58 243 59 66 69 9 92 94 117 UFJ 117 UFJ 153 UFJ 29 259 264 215229

UFJ 24 2 4 8 UFJ24 1 14 24 UFJ 3 CS 32 IT 34 37 ALM 57 58 243 59 66 69 9 92 94 117 UFJ 117 UFJ 153 UFJ 29 259 264 215229 24UFJ 247 UFJ UFJ UFJ UFJ UFJ 22 3 23 3 24 3 UFJ UFJ 13,629 13,715 11,982 1,641

A Message From President 2

A Message From President 2 Top Information 3 Top Information 4 A View Point 5 Annual Report 2 Financial Highlight 7, 5, 12, 6, 5, 4, 3, 2, 1, 4, 3, 2, 1, 1, 8, 6, 4, 2, 6 5, 2, 8 4, 1,5 6 3, 2, 1, 1, 5

untitled

2005412005930 PC DEPOT CORPORATION 20051116 1 2 9,009 9,750 6,852 1,501 1,335 1,338 1,505 1,659 1,142 3,931 4,200 3,402 1,051 2,211 526 664 357 343 444 5,956 5,566 3,593 1,582 1,445 976 914 776 422 440

untitled

11 10 267 6 129 48.3 6 63 2 1 2JIS ME JIS T 1005JIS 1994 1 11 A 10 1999 5 3 13 ME 4 2 11 B B 1999 4 10 267 6 B 7 9 6 10 12 3 11 Excel MODE Excel STANDARDIZE STANDARDIZE(X,)X AVERAGE STDEVP Excel VAR 0.5

untitled

L A Energy Giant Energy Giant 12 2 2001 MMF World Energy Giant the Largest Energy Trading Company Fortune (2002 1 ) DC LA 1 2001 () 1985 Houston Natural Gas Inter North 1980 90 99 1998 2000 3 313 1008

2 3 3 3 5 6 7 9 12 13 14 16 17 17 18 1

IT RISK MANAGEMENT 2 3 3 3 5 6 7 9 12 13 14 16 17 17 18 1 2 3 4 0 5 10 15 20 25 30 35 40 5 5 4 3 2 1 0 6 7 1 2 3 4 5 6 7 8 8 9 10 11 0 500 1000 1500 2000 2500 3000 787 1,289 1,315 1,493 1,183 1,285 1,416

untitled

IT IT 2014 B to B B to C 10 IT IT IT (CDS) Electronic Commerce, e-commerce B to B (Business to Business) B to C (Business to Consumer) C to C (Consumer to Consumer) O2O (Online to Offline) IT IT IT IT

Economic Development in Asian Perspective

IT

ディスクロージャー誌 IT 2016 2016 Sony Bank Disclosure 1 2 4 5 6 8 8 8 9 10 10 11 12 14 14 14 15 15 16 16 19 19 20 20 21 22 24 24 26 35 35 35 36 42 42 45 46 48 50 54 55 56 58 62 65 68 19 2 70 19 3 70 4 70 MONEYKit

C ONTENTS

1 Nelson-Siegel Nelson and Siegel(1987) 3 Nelson-Siegel 3 Nelson-Siegel 2 3 Nelson-Siegel 2 Nelson-Siegel Litterman and Scheinkman(199

Nelson-Siegel Nelson-Siegel 1992 2007 15 1 Nelson and Siegel(1987) 2 FF VAR 1996 FF B) 1 Nelson-Siegel 15 90 1 Nelson and Siegel(1987) 3 Nelson-Siegel 3 Nelson-Siegel 2 3 Nelson-Siegel 2 Nelson-Siegel

Sony Life Insurance Co., Ltd. 2017

1... 082 1-01... 082 1-02... 083 2... 084 2-01... 084 2-02... 086... 086 3... 087 3-01... 087 3-02... 087 3-03... 088 1.... 088 2.... 088 3.... 088 3-04... 088 1.... 088 2.... 088 4... 088 5... 089 6...

Sony Life Insurance Co., Ltd

1... 082 1-01... 082 1-02... 083 2... 084 2-01... 084 2-02... 086... 086 3... 087 3-01... 087 3-02... 087 3-03... 088 1.... 088 2.... 088 3.... 088 3-04... 088 1.... 088 2.... 088 4... 088 5... 089 6...

, , % GDP GDP 9.7% GDP (%) 10 ( )

P64 P72 P74 P75 P76 P77 P79 P102 63 2010 2009 1 3 2010 10 12 2011 1 3 2009 2 2 8,000 2010 4 6 116,000 12 2010 10 12 2011 2 2010 1 3 11.9% GDP 2011 1 3GDP 9.7% 2010 2010 5 GDP (%) 10 ( ) 15,000 5 ( ) 5

NTT NTT

untitled

2007 9 7 1 2 3 4 ( ) () FAS158 FRS17 IAS19 04 FTK 5 6 FAS 158 2006.12.15 FAS87 2005.11 2006.12.15 BS PL BS PL2 3 2 2 7 FAS15 8 9 2005 DB 2001 PBGC US LTV) DC 10 DB 90 100 30 10 20 (51515 )324 24 80 80%

i

- - 2014 2 28 II 1 2 1 2 1996 1996 i 1 1 1.1......................................... 1 1.2..................................... 1 1.3..................................... 3 1.4.....................................

まえがき

2 P2-3 3 21 21 1 IT 20 20 1 2 2 3 ( ) ( ) ( ) ( ) H.RINNO () 1990 2 3 3 4 5 6 4 2005 1 7 4 2004 12 8 5 5 6 2004 10 7 4 BQ BQ BQ BQ BQIQEQSQ ( ( ) ( ) ( ) ( ) H.RINNO () 5 (1) (2) (3) 6 7 21 7 Chief

10 9 10 12 13 13 14 21 21 24 26 26 28 31 33 36 38 35 38 40 41 41 41 45 51 53 62 64 68 68 70 71 78 83 84 84 85 96 96 101 101 102 104 104 106 67 95 107 108 109 112 112 113 120 120 120 121 123 123 125 125

ヒストリカル法によるバリュー・アット・リスクの計測：市場価格変動の非定常性への実務的対応

VaR VaR VaR VaR GARCH E-mail : yoshitaka.andou@boj.or.jp VaR VaR LTCM VaR VaR VaR VaR VaR VaR VaR VaR t P(t) P(= P() P(t)) Pr[ P X] =, X t100 (1 )VaR VaR P100 P X X (1 ) VaR VaR VaR VaR VaR VaR VaR VaR

1970 1970 3 4 industry-specificfirm-specific 19971998 5 d 1993 1993 f Mark Fruin, Smart Cards Project 451998 g 50

1 2 a s 199120 49 1970 1970 3 4 industry-specificfirm-specific 19971998 5 d 1993 1993 f Mark Fruin, Smart Cards Project 451998 g 50 1939 1942 6,1950 7 1961 8 9 1965 h j k l 1977 230198615 1962263 15 51

Microsoft Word - конфОсень!!!!!! 2014.doc

1 71 71 71 71 71 7 5 1 71 71 71 71 71 71 71 71 7 1 7 1 71 71 71 71 71 71 71 71 71 7 1 71 71 71 71 71 71 71 71 71 71 7 1 7 1 71 71 71 71 71 7 1 71 71 71 71 71 71 71 71 71 71 71 71 71 7 1 71 71 7 658.5:687

IUHW No31

untitled

http:www.ipss.go.jp 1 2 3 ( ) 300 250 200 150 100 270 4.32 136 1.58 209 2.14 2003 112 1.29 5 4 3 2 50 1 0 1945 1950 1955 1960 1965 1970 1975 1980 1985 1990 1995 2000 0 4 5 TFR TFR TFR() t = 0 Bat (, )

20091215 100-0005 1-6-5 (Risk) = (Impact) (Probability) ISO/IEC GUIDE 73 2002 Risk management Vocabulary Guidelines for use in standards 2003 V[ R i ] 2 i V[ R M ] V[ ] i CAPM i R i R M VaR 4 8 12 16

Untitled art 3

2004 5 What s Inside 1 2 3 4 6 9 11 12 Visit our site at www.jccc-chi.org MAY 2004 NEWS CHICAGO 2 MAY 2004 NEWS CHICAGO 3 4 NEWS CHICAGO MAY 2004 MAY 2004 NEWS CHICAGO 5 6 NEWS CHICAGO MAY 2004 MAY 2004

untitled

215 Way Way 215 2 3 4 6 225 6 11 12 13 14 19 24 24 25 VBI 26 28 32 14 26 33 At a Glance 34 38 4 42 44 45 47 48 54 55 56 CSR 64 69 21 1 215 2771 VBI ABSMBS 2 2763 1 ATM 1,754 1 ATM 2,915 12 ATM 6,184 1

*1 * Wilcoxon 2 2 t t t t d t M t N t M t n t N t n t N t d t N t t at ri

Wilcoxon H23 BioS 1 Wilcoxon 2 2.1 1 2 1 0 1 1 5 0 1 2 7 0 1 3 8 1 1 4 12 0 2 5 2 0 2 6 3 1 2 7 4 1 2 8 10 0 Wilcoxon 2.2 S 1 t S 2 t Wilcoxon H 0 H 1 H 0 : S 1 t S 2 t H 1 : S 1 t S 2 t 1 *1 *2 2.3 2.3.1

2

HL-6180DW 1 2 http://solutions.brother.co.jp/ 3 2 3 P.27 P.52 P.78 P.93 Windows Macintosh P.50 P.79 P.93 Windows Macintosh P.57 P.80 Windows P.48 P.81 Windows Macintosh P.89 P.96 P.48 P.81 Windows Macintosh

AR(1) y t = φy t 1 + ɛ t, ɛ t N(0, σ 2 ) 1. Mean of y t given y t 1, y t 2, E(y t y t 1, y t 2, ) = φy t 1 2. Variance of y t given y t 1, y t

87 6.1 AR(1) y t = φy t 1 + ɛ t, ɛ t N(0, σ 2 ) 1. Mean of y t given y t 1, y t 2, E(y t y t 1, y t 2, ) = φy t 1 2. Variance of y t given y t 1, y t 2, V(y t y t 1, y t 2, ) = σ 2 3. Thus, y t y t 1,

H22 BioS (i) I treat1 II treat2 data d1; input group patno treat1 treat2; cards; ; run; I

H BioS (i) I treat II treat data d; input group patno treat treat; cards; 8 7 4 8 8 5 5 6 ; run; I II sum data d; set d; sum treat + treat; run; sum proc gplot data d; plot sum * group ; symbol c black

,552,510 3,580,796 1,591,338 1,521,728 1,167,622 1,145, , ,396 4,040 7,095 2,542 3, ,687

193 2 15 16 16 3 31 17 3 31 5,328,950 4,989,814 360,509 1,004,512 152,070 124,856 1,009,328 568,340 480,847 606,032 3,306,780 3,769,073 3,749 3,832 27,049,901 24,233,701 55,382,800 54,799,805 743,957 895,586