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) 5 t (2015) 3 t ( ) 2016 3 11 5 / 16

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 ( ) 2016 3 11 6 / 16

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 34 12 {F (x 3 12 ), F (x 4 12 )}c 35 12 {F (x 3 12 ), F (x 5 12 )} c 45 123 {F (x 4 123 ), F (x 5 123 )} Figure: 5 C- 5 C- T 1 T 2 ( ) 2016 3 11 7 / 16

1 2 3 vs 5 t 4 5 VaR 6 AIC Menu 1 VaR 2 VaR 3 ( ) 2016 3 11 8 / 16

1 1 1 2 6000 itraxx Japan(CDS) 350 TOPIX 1500 5 750 5 Table: ( ) ( ) 2016 3 11 9 / 16

2 2 3 5 vs 5 t ) 4 Vasicek t Figure: ( ) 2016 3 11 10 / 16

1 (2005 4 2015 3 ) FX-JGB t TOPIX-FX 3819 TOPIX-TNote 7177 a a param1 TOPIX-CDS 0478 0015 3819 0046 t TOPIX-FX -0575 0006 6889 0033 t TOPIX-Tnote 0299 0012 7177 0083 t TOPIX-JGB 0369 0007 6644 0078 t CDS-FX -0091 1242 10500 2095 t CDS-Tnote 0373 0279 5458 7095 t CDS-JGB 0147 0693 9002 3627 t FX-Tnote -0160 0021 9228 0602 t FX-JGB 0029 0051 - - Tnote-JGB -0225 0021 11015 0051 t param1 TOPIX-CDS -0563 TOPIX-FX 0499 TOPIX-Tnote 0303 TOPIX-JGB 0360 CDS-FX -0348 CDS-Tnote -0314 CDS-JGB -0229 FX-Tnote 0456 FX-JGB 0290 Tnote-JGB 0340 6302 Table: 5 t AIC ( ) 2016 3 11 11 / 16

1 (2008 1 2009 3 ) param1 TOPIX-CDS -0751 0268 - - TOPIX-FX 0682 0191 4990 0785 t TOPIX-Tnote 2721 0333 - - TOPIX-JGB 2851 0217 - - CDS-FX -0111 0053 - - CDS-Tnote -1492 0221 - - CDS-JGB -0133 0071 - - FX-Tnote 0308 0058 3869 0695 t FX-JGB 0227 0125 - - Tnote-JGB 1092 0058-0125 param1 TOPIX-CDS -0740 TOPIX-FX 0692 TOPIX-Tnote 0412 TOPIX-JGB 0421 CDS-FX -0562 CDS-Tnote -0457 CDS-JGB -0389 FX-Tnote 0475 FX-JGB 0426 Tnote-JGB 0364 10392 Table: 5 t ( ) 2016 3 11 12 / 16

1 VaR VaR VaR 3 t a 990 VaR a 990 999 990 999 12406 21123 12406 21123 8667 14039 9136 14895 t 8738 14608 9137 15237 8754 14524 9278 15373 t(ν = 3) 8846 14978 9240 15461 AIC LL AIC LL -27416 13808-5699 2949 t -31655 15938-5924 3072-31902 16141-6199 3220 Table: VaR AIC Value at Risk(VaR) 1 ( ) 2016 3 11 13 / 16

2 VaR 3 t VaR 2 990 999 VaR 3 t t 12 2 2 2 990 999 990 999 990 999 990 999 990 999 VaR 12406 21123 13849 23522 14405 24469 13219 23090 14783 24934 9136 14895 10542 17238 10841 17630 8963 14711 9918 16093 t 9137 15237 10538 17566 10838 18014 8931 14830 9929 16527 9278 15373 10690 17687 10987 18155 9144 15235 10172 16810 t(ν = 3) 9240 15461 10641 17803 11002 18399 9037 15086 10077 16995 Table: ( ) 2016 3 11 14 / 16

3 2 5 6 TOPIX CDS FX t 2006/10 2011/12 2008/04 2013/06 param1 param2 param1 param2 TOPIX-FX t 0518 3875 TOPIX-CDS t -0673 8470 TOPIX-CDS t -0650 7492 TOPIX-FX t 0524 4362 TOPIX-Tnote t 0375 7354 TOPIX-Tnote t 0353 8403 TOPIX-JGB t 0429 5421 TOPIX-JGB t 0361 5060 FX-CDS t -0111 8751 CDS-FX t -0049 7624 FX-Tnote t 0413 5016 CDS-Tnote t -0174 8444 FX-JGB 0217 - CDS-JGB -0455 - CDS-Tnote -1261 - FX-Tnote t 0321 4752 CDS-JGB 0045 - FX-JGB t 0170 12389 TNote-JGB t -0193 12618 TNote-JGB t 0230 5700 Table: 2 10 1 4 5 7 8 9 10 ( ) 2016 3 11 15 / 16

VaR 3 t VaR t ( ) 2016 3 11 16 / 16