{"id":10858,"date":"2026-09-22T06:00:00","date_gmt":"2026-09-21T21:00:00","guid":{"rendered":"https:\/\/triumphmind.com\/cfa\/2026\/09\/22\/cfa-l2-pc-lm5\/"},"modified":"2026-09-22T07:44:39","modified_gmt":"2026-09-21T22:44:39","slug":"cfa-l2-pc-lm5","status":"publish","type":"post","link":"https:\/\/triumphmind.com\/cfa\/2026\/09\/22\/cfa-l2-pc-lm5\/","title":{"rendered":"\u3010CFA\u00ae\ufe0e L2 Portfolio Construction LM5\u3011Measuring and Managing Market Risk \u3092\u8981\u70b9\u89e3\u8aac\uff5cVaR\u30fb\u611f\u5fdc\u5ea6\u6307\u6a19\u30fb\u30b7\u30ca\u30ea\u30aa\u5206\u6790\u30fb\u30ea\u30b9\u30af\u30fb\u30d0\u30b8\u30a7\u30c3\u30c6\u30a3\u30f3\u30b0"},"content":{"rendered":"<style>\n.cfalm-los{counter-reset:los;list-style:none;padding:0!important;margin:1em 0!important}\n.cfalm-los li{border:1px solid #d5d9e3;border-left:4px solid #172152;border-radius:4px;padding:.8em 1em!important;margin:0 0 .8em!important;background:#fff}\n.cfalm-los li::before{display:none!important;content:none!important}\n.cfalm-los .ja{display:block;font-weight:bold;color:#172152;line-height:1.6}\n.cfalm-los .en{display:block;font-size:.85em;color:#667;margin-top:.3em;line-height:1.5;word-break:normal!important;overflow-wrap:anywhere}\n.cfalm-sum{background:#f6f7fb;border-radius:6px;padding:1em 1.2em!important;margin:1em 0!important;list-style:none!important}\n.cfalm-sum li{position:relative;margin:.4em 0!important;padding:0 0 0 1.1em!important;line-height:1.7;list-style:none!important}.cfalm-sum li::before{content:\"\"!important;display:block!important;position:absolute!important;left:0!important;top:.7em!important;width:6px!important;height:6px!important;border-radius:50%!important;background:#172152!important;border:none!important;transform:none!important}\n.cfalm-f{background:#f6f7fb;border-left:4px solid #172152;padding:.7em 1em;margin:.8em 0;font-family:\"Menlo\",\"Consolas\",monospace;font-size:.95em;overflow-x:auto}\n.cfalm-nav{background:#f6f7fb;padding:1em 1.2em;border-radius:6px;margin:1em 0;word-break:normal;overflow-wrap:anywhere}\n<\/style>\n<div class=\"box05\">\n<p>Learning Module 5\u300cMeasuring and Managing Market Risk\uff08\u5e02\u5834\u30ea\u30b9\u30af\u306e\u6e2c\u5b9a\u3068\u7ba1\u7406\uff09\u300d\u306f\u3001VaR\u306e\u610f\u5473\u30683\u3064\u306e\u63a8\u5b9a\u65b9\u6cd5\u3001\u9577\u6240\u30fb\u77ed\u6240\u3068\u62e1\u5f35\u6307\u6a19\u3001\u611f\u5fdc\u5ea6\u6307\u6a19\u3068\u30b7\u30ca\u30ea\u30aa\u6307\u6a19\u3001\u682a\u5f0f\u30fb\u50b5\u5238\u30fb\u30aa\u30d7\u30b7\u30e7\u30f3\u306e\u30a8\u30af\u30b9\u30dd\u30fc\u30b8\u30e3\u30fc\u6307\u6a19\u3001\u30ea\u30b9\u30af\u7ba1\u7406\u4e0a\u306e\u5236\u7d04\u3001\u8cc7\u672c\u914d\u5206\u3078\u306e\u6d3b\u7528\u3001\u9280\u884c\u30fb\u904b\u7528\u4f1a\u793e\u30fb\u5e74\u91d1\u30fb\u4fdd\u967a\u4f1a\u793e\u3067\u4f7f\u308f\u308c\u308b\u30ea\u30b9\u30af\u6307\u6a19\u3092\u6271\u3046\u5358\u5143\u3067\u3059\u3002<\/p>\n<p>\u672c\u8a18\u4e8b\u3067\u306f\u3001\u6700\u65b0\u7248\u30ab\u30ea\u30ad\u30e5\u30e9\u30e0\u306eLOS\uff08Learning Outcome Statement\uff09\u3068\u3001\u3053\u306e\u5358\u5143\u306e\u91cd\u8981\u8ad6\u70b9\u3092\u65e5\u672c\u8a9e\u3067\u6574\u7406\u3057\u307e\u3057\u305f\u3002<\/p>\n<\/div>\n<h2>LM5\u306eLOS\uff08\u5b66\u7fd2\u76ee\u6a19\uff09<\/h2>\n<p>LOS\u306f\u3001\u3053\u306e\u5358\u5143\u3067\u300c\u3067\u304d\u308b\u3088\u3046\u306b\u306a\u308b\u3079\u304d\u3053\u3068\u300d\u3068\u3057\u3066\u793a\u3055\u308c\u3066\u3044\u308b\u5b66\u7fd2\u76ee\u6a19\u3067\u3059\u3002LM5\u306b\u306f12\u500b\u306eLOS\u304c\u3042\u308a\u307e\u3059\u3002<\/p>\n<ol class=\"cfalm-los\">\n<li><span class=\"ja\">LOS 1\uff1a\u30dd\u30fc\u30c8\u30d5\u30a9\u30ea\u30aa\u306e\u30ea\u30b9\u30af\u6e2c\u5b9a\u306b\u304a\u3051\u308b\u30d0\u30ea\u30e5\u30fc\u30fb\u30a2\u30c3\u30c8\u30fb\u30ea\u30b9\u30af\uff08VaR\uff09\u306e\u4f7f\u3044\u65b9\u3092\u8aac\u660e\u3059\u308b<\/span><span class=\"en\">explain the use of value at risk (VaR) in measuring portfolio risk<\/span><\/li>\n<li><span class=\"ja\">LOS 2\uff1aVaR\u3092\u63a8\u5b9a\u3059\u308b\u30d1\u30e9\u30e1\u30c8\u30ea\u30c3\u30af\u6cd5\uff08\u5206\u6563\u5171\u5206\u6563\u6cd5\uff09\u3001\u30d2\u30b9\u30c8\u30ea\u30ab\u30eb\u30fb\u30b7\u30df\u30e5\u30ec\u30fc\u30b7\u30e7\u30f3\u6cd5\u3001\u30e2\u30f3\u30c6\u30ab\u30eb\u30ed\u30fb\u30b7\u30df\u30e5\u30ec\u30fc\u30b7\u30e7\u30f3\u6cd5\u3092\u6bd4\u8f03\u3059\u308b<\/span><span class=\"en\">compare the parametric (variance\u2013covariance), historical simulation, and Monte Carlo simulation methods for estimating VaR<\/span><\/li>\n<li><span class=\"ja\">LOS 3\uff1a\u30d1\u30e9\u30e1\u30c8\u30ea\u30c3\u30af\u6cd5\u3001\u30d2\u30b9\u30c8\u30ea\u30ab\u30eb\u30fb\u30b7\u30df\u30e5\u30ec\u30fc\u30b7\u30e7\u30f3\u6cd5\u3001\u30e2\u30f3\u30c6\u30ab\u30eb\u30ed\u30fb\u30b7\u30df\u30e5\u30ec\u30fc\u30b7\u30e7\u30f3\u6cd5\u306b\u3088\u3063\u3066VaR\u3092\u63a8\u5b9a\u30fb\u89e3\u91c8\u3059\u308b<\/span><span class=\"en\">estimate and interpret VaR under the parametric, historical simulation, and Monte Carlo simulation methods<\/span><\/li>\n<li><span class=\"ja\">LOS 4\uff1aVaR\u306e\u9577\u6240\u3068\u9650\u754c\u3092\u8aac\u660e\u3059\u308b<\/span><span class=\"en\">describe advantages and limitations of VaR<\/span><\/li>\n<li><span class=\"ja\">LOS 5\uff1aVaR\u306e\u62e1\u5f35\u6307\u6a19\u3092\u8aac\u660e\u3059\u308b<\/span><span class=\"en\">describe extensions of VaR<\/span><\/li>\n<li><span class=\"ja\">LOS 6\uff1a\u611f\u5fdc\u5ea6\u30ea\u30b9\u30af\u6307\u6a19\u3068\u30b7\u30ca\u30ea\u30aa\u30fb\u30ea\u30b9\u30af\u6307\u6a19\u3092\u8aac\u660e\u3057\u3001\u3053\u308c\u3089\u3092VaR\u3068\u6bd4\u8f03\u3059\u308b<\/span><span class=\"en\">describe sensitivity risk measures and scenario risk measures and compare these measures to VaR<\/span><\/li>\n<li><span class=\"ja\">LOS 7\uff1a\u682a\u5f0f\u30fb\u50b5\u5238\u30fb\u30aa\u30d7\u30b7\u30e7\u30f3\u306e\u30a8\u30af\u30b9\u30dd\u30fc\u30b8\u30e3\u30fc\u6307\u6a19\u3092\u3001\u5e02\u5834\u30ea\u30b9\u30af\u3068\u30dc\u30e9\u30c6\u30a3\u30ea\u30c6\u30a3\u30fb\u30ea\u30b9\u30af\u306e\u6e2c\u5b9a\u30fb\u7ba1\u7406\u306b\u3069\u306e\u3088\u3046\u306b\u4f7f\u3048\u308b\u304b\u3092\u793a\u3059<\/span><span class=\"en\">demonstrate how equity, fixed-income, and options exposure measures may be used in measuring and managing market risk and volatility risk<\/span><\/li>\n<li><span class=\"ja\">LOS 8\uff1a\u611f\u5fdc\u5ea6\u30ea\u30b9\u30af\u6307\u6a19\u3068\u30b7\u30ca\u30ea\u30aa\u30fb\u30ea\u30b9\u30af\u6307\u6a19\u306e\u4f7f\u3044\u65b9\u3092\u8aac\u660e\u3059\u308b<\/span><span class=\"en\">describe the use of sensitivity risk measures and scenario risk measures<\/span><\/li>\n<li><span class=\"ja\">LOS 9\uff1a\u611f\u5fdc\u5ea6\u30ea\u30b9\u30af\u6307\u6a19\u3068\u30b7\u30ca\u30ea\u30aa\u30fb\u30ea\u30b9\u30af\u6307\u6a19\u306e\u9577\u6240\u3068\u9650\u754c\u3092\u8aac\u660e\u3059\u308b<\/span><span class=\"en\">describe advantages and limitations of sensitivity risk measures and scenario risk measures<\/span><\/li>\n<li><span class=\"ja\">LOS 10\uff1a\u30ea\u30b9\u30af\u30fb\u30d0\u30b8\u30a7\u30c3\u30c6\u30a3\u30f3\u30b0\u3001\u30dd\u30b8\u30b7\u30e7\u30f3\u9650\u5ea6\u3001\u30b7\u30ca\u30ea\u30aa\u9650\u5ea6\u3001\u30b9\u30c8\u30c3\u30d7\u30ed\u30b9\u9650\u5ea6\u306a\u3069\u3001\u5e02\u5834\u30ea\u30b9\u30af\u7ba1\u7406\u306b\u7528\u3044\u3089\u308c\u308b\u5236\u7d04\u3092\u8aac\u660e\u3059\u308b<\/span><span class=\"en\">explain constraints used in managing market risks, including risk budgeting, position limits, scenario limits, and stop-loss limits<\/span><\/li>\n<li><span class=\"ja\">LOS 11\uff1a\u30ea\u30b9\u30af\u6307\u6a19\u3092\u8cc7\u672c\u914d\u5206\u306e\u610f\u601d\u6c7a\u5b9a\u306b\u3069\u306e\u3088\u3046\u306b\u4f7f\u3048\u308b\u304b\u3092\u8aac\u660e\u3059\u308b<\/span><span class=\"en\">explain how risk measures may be used in capital allocation decisions<\/span><\/li>\n<li><span class=\"ja\">LOS 12\uff1a\u9280\u884c\u3001\u8cc7\u7523\u904b\u7528\u4f1a\u793e\u3001\u5e74\u91d1\u57fa\u91d1\u3001\u4fdd\u967a\u4f1a\u793e\u304c\u7528\u3044\u308b\u30ea\u30b9\u30af\u6307\u6a19\u3092\u8aac\u660e\u3059\u308b<\/span><span class=\"en\">describe risk measures used by banks, asset managers, pension funds, and insurers<\/span><\/li>\n<\/ol>\n<h2>LM5\u306e\u307e\u3068\u3081<\/h2>\n<p>\u3053\u306e\u5358\u5143\u306e\u8981\u70b9\u3092\u307e\u3068\u3081\u308b\u3068\u3001\u6b21\u306e\u3068\u304a\u308a\u3067\u3059\u3002<\/p>\n<ul class=\"cfalm-sum\">\n<li>VaR\u306f\u3001\u4e00\u5b9a\u306e\u671f\u9593\u306b\u3001\u4e00\u5b9a\u306e\u78ba\u7387\u3067\u767a\u751f\u3059\u308b\u3068\u4e88\u60f3\u3055\u308c\u308b\u6700\u5c0f\u306e\u640d\u5931\u984d\uff08\u307e\u305f\u306f\u640d\u5931\u7387\uff09<\/li>\n<li>VaR\u306e\u7b97\u51fa\u306b\u306f\u30dd\u30fc\u30c8\u30d5\u30a9\u30ea\u30aa\u306e\u30d1\u30d5\u30a9\u30fc\u30de\u30f3\u30b9\u3092\u30ea\u30b9\u30af\u30fb\u30d5\u30a1\u30af\u30bf\u30fc\u306b\u5206\u89e3\u3059\u308b\u5fc5\u8981\u304c\u3042\u308b<\/li>\n<li>\u63a8\u5b9a\u65b9\u6cd5\u306f\u30d1\u30e9\u30e1\u30c8\u30ea\u30c3\u30af\u6cd5\u3001\u30d2\u30b9\u30c8\u30ea\u30ab\u30eb\u30fb\u30b7\u30df\u30e5\u30ec\u30fc\u30b7\u30e7\u30f3\u6cd5\u3001\u30e2\u30f3\u30c6\u30ab\u30eb\u30ed\u30fb\u30b7\u30df\u30e5\u30ec\u30fc\u30b7\u30e7\u30f3\u6cd5\u306e3\u3064\u3067\u3001\u552f\u4e00\u306e\u6b63\u3057\u3044\u65b9\u6cd5\u306f\u306a\u3044<\/li>\n<li>\u30d1\u30e9\u30e1\u30c8\u30ea\u30c3\u30af\u6cd5\u306f\u6b63\u898f\u5206\u5e03\u3092\u524d\u63d0\u3068\u3057\u305f\u7c21\u4fbf\u306a\u65b9\u6cd5\u3060\u304c\u3001\u30aa\u30d7\u30b7\u30e7\u30f3\u3092\u542b\u3080\u306a\u3069\u30ea\u30bf\u30fc\u30f3\u304c\u6b63\u898f\u5206\u5e03\u3067\u306a\u3044\u5834\u5408\u306b\u63a8\u5b9a\u304c\u4e0d\u6b63\u78ba\u306b\u306a\u308b<\/li>\n<li>\u30d2\u30b9\u30c8\u30ea\u30ab\u30eb\u6cd5\u306f\u5b9f\u969b\u306b\u8d77\u304d\u305f\u4e8b\u8c61\u3092\u53cd\u6620\u3057\u5206\u5e03\u306e\u4eee\u5b9a\u304c\u4e0d\u8981\u3060\u304c\u3001\u5c06\u6765\u304c\u904e\u53bb\u306b\u4f3c\u3066\u3044\u308b\u5834\u5408\u306b\u3057\u304b\u5f79\u7acb\u305f\u306a\u3044\u3002\u30e2\u30f3\u30c6\u30ab\u30eb\u30ed\u6cd5\u306f\u67d4\u8edf\u3060\u304c\u8907\u96d1\u3067\u6642\u9593\u304c\u304b\u304b\u308b<\/li>\n<li>VaR\u306f\u5358\u7d14\u3067\u308f\u304b\u308a\u3084\u3059\u304f\u6bd4\u8f03\u3084\u8cc7\u672c\u914d\u5206\u3001\u30d0\u30c3\u30af\u30c6\u30b9\u30c8\u306b\u4f7f\u3048\u898f\u5236\u5f53\u5c40\u306b\u3082\u53d7\u3051\u5165\u308c\u3089\u308c\u3066\u3044\u308b\u4e00\u65b9\u3001\u4e3b\u89b3\u7684\u3067\u8a08\u7b97\u4e0a\u306e\u9078\u629e\u306b\u654f\u611f\u3001\u30c6\u30fc\u30eb\u30fb\u30ea\u30b9\u30af\u3092\u904e\u5c0f\u8a55\u4fa1\u3057\u3084\u3059\u3044<\/li>\n<li>\u611f\u5fdc\u5ea6\u6307\u6a19\uff08\u30d9\u30fc\u30bf\u3001\u30c7\u30e5\u30ec\u30fc\u30b7\u30e7\u30f3\u3001\u30b0\u30ea\u30fc\u30af\u30b9\uff09\u3084\u30b7\u30ca\u30ea\u30aa\u5206\u6790\uff08\u30d2\u30b9\u30c8\u30ea\u30ab\u30eb\u30fb\u30b7\u30ca\u30ea\u30aa\u3001\u4eee\u60f3\u30b7\u30ca\u30ea\u30aa\u3001\u30b9\u30c8\u30ec\u30b9\u30fb\u30c6\u30b9\u30c8\uff09\u304cVaR\u3092\u88dc\u5b8c\u3059\u308b<\/li>\n<li>\u30ea\u30b9\u30af\u30fb\u30d0\u30b8\u30a7\u30c3\u30c8\u3001\u30dd\u30b8\u30b7\u30e7\u30f3\u9650\u5ea6\u3001\u30b7\u30ca\u30ea\u30aa\u9650\u5ea6\u3001\u30b9\u30c8\u30c3\u30d7\u30ed\u30b9\u9650\u5ea6\u306a\u3069\u306e\u5236\u7d04\u3067\u30ea\u30b9\u30af\u3092\u7ba1\u7406\u3057\u3001\u7d44\u7e54\u306e\u7a2e\u985e\u306b\u3088\u3063\u3066\u91cd\u8996\u3059\u308b\u30ea\u30b9\u30af\u6307\u6a19\u304c\u7570\u306a\u308b<\/li>\n<\/ul>\n<p>\u4ee5\u4e0b\u3001LOS\u3054\u3068\u306b\u91cd\u8981\u8ad6\u70b9\u3092\u6574\u7406\u3057\u307e\u3059\u3002<\/p>\n<h3>LOS 1\uff1aVaR\u306e\u610f\u5473\u3068\u4f7f\u3044\u65b9<\/h3>\n<p><strong>VaR\uff08\u30d0\u30ea\u30e5\u30fc\u30fb\u30a2\u30c3\u30c8\u30fb\u30ea\u30b9\u30af\uff09<\/strong>\u306f\u3001\u4e00\u5b9a\u306e\u4fdd\u6709\u671f\u9593\u306b\u3001\u4e00\u5b9a\u306e\u78ba\u7387\u3067\u767a\u751f\u3059\u308b\u3068\u4e88\u60f3\u3055\u308c\u308b<strong>\u6700\u5c0f\u306e\u640d\u5931<\/strong>\u3067\u3059\u3002\u4f8b\u3048\u3070\u300c1\u65e55%\u306eVaR\u304c100\u4e07\u5186\u300d\u306f\u30015%\u306e\u78ba\u7387\u30671\u65e5\u306b\u5c11\u306a\u304f\u3068\u3082100\u4e07\u5186\u306e\u640d\u5931\u304c\u751f\u3058\u308b\u3053\u3068\u3092\u610f\u5473\u3057\u307e\u3059\u3002<\/p>\n<ul>\n<li>3\u3064\u306e\u8981\u7d20\uff1a\u640d\u5931\u984d\u3001\u78ba\u7387\uff08\u4fe1\u983c\u6c34\u6e96\uff09\u3001\u671f\u9593<\/li>\n<li>5%\u306eVaR \uff1d 95%\u306e\u4fe1\u983c\u6c34\u6e96\u3067\u6700\u5927\u3068\u8003\u3048\u3089\u308c\u308b\u640d\u5931<\/li>\n<li>VaR\u306e\u7b97\u51fa\u306b\u306f\u30ea\u30b9\u30af\u30fb\u30d5\u30a1\u30af\u30bf\u30fc\u3078\u306e\u5206\u89e3\u304c\u5fc5\u8981<\/li>\n<li>\u30dd\u30fc\u30c8\u30d5\u30a9\u30ea\u30aa\u5168\u4f53\u306e\u30ea\u30b9\u30af\u30921\u3064\u306e\u6570\u5024\u3067\u8868\u3059<\/li>\n<\/ul>\n<h3>LOS 2\uff1aVaR\u306e3\u3064\u306e\u63a8\u5b9a\u65b9\u6cd5\u306e\u6bd4\u8f03<\/h3>\n<p><strong>\u30d1\u30e9\u30e1\u30c8\u30ea\u30c3\u30af\u6cd5<\/strong>\u306f\u671f\u5f85\u30ea\u30bf\u30fc\u30f3\u30fb\u5206\u6563\u30fb\u5171\u5206\u6563\u3068\u6b63\u898f\u5206\u5e03\u3092\u7528\u3044\u308b\u65b9\u6cd5\u3001<strong>\u30d2\u30b9\u30c8\u30ea\u30ab\u30eb\u30fb\u30b7\u30df\u30e5\u30ec\u30fc\u30b7\u30e7\u30f3\u6cd5<\/strong>\u306f\u73fe\u5728\u306e\u4fdd\u6709\u3092\u904e\u53bb\u306e\u30ea\u30bf\u30fc\u30f3\u306b\u5f53\u3066\u306f\u3081\u308b\u65b9\u6cd5\u3001<strong>\u30e2\u30f3\u30c6\u30ab\u30eb\u30ed\u6cd5<\/strong>\u306f\u4eee\u5b9a\u3057\u305f\u5206\u5e03\u304b\u3089\u591a\u6570\u306e\u30b7\u30ca\u30ea\u30aa\u3092\u751f\u6210\u3059\u308b\u65b9\u6cd5\u3067\u3059\u3002<\/p>\n<ul>\n<li>\u30d1\u30e9\u30e1\u30c8\u30ea\u30c3\u30af\uff1a\u7c21\u5358\u3060\u304c\u6b63\u898f\u5206\u5e03\u306e\u4eee\u5b9a\u306b\u4f9d\u5b58\u3057\u3001\u30aa\u30d7\u30b7\u30e7\u30f3\u306e\u3088\u3046\u306a\u975e\u7dda\u5f62\u5546\u54c1\u306b\u4e0d\u5411\u304d<\/li>\n<li>\u30d2\u30b9\u30c8\u30ea\u30ab\u30eb\uff1a\u5206\u5e03\u306e\u4eee\u5b9a\u304c\u4e0d\u8981\u3067\u5b9f\u969b\u306e\u4e8b\u8c61\u3092\u53cd\u6620\u3059\u308b\u304c\u3001\u904e\u53bb\u304c\u5c06\u6765\u3092\u4ee3\u8868\u3059\u308b\u5fc5\u8981\u304c\u3042\u308b<\/li>\n<li>\u30e2\u30f3\u30c6\u30ab\u30eb\u30ed\uff1a\u975e\u7dda\u5f62\u5546\u54c1\u3084\u4efb\u610f\u306e\u5206\u5e03\u306b\u5bfe\u5fdc\u3067\u304d\u67d4\u8edf\u3060\u304c\u3001\u8907\u96d1\u3067\u8a08\u7b97\u8ca0\u8377\u304c\u5927\u304d\u3044<\/li>\n<li>\u3069\u306e\u65b9\u6cd5\u3082\u5165\u529b\u30c7\u30fc\u30bf\u3084\u4eee\u5b9a\u306b\u3088\u3063\u3066\u7d50\u679c\u304c\u5927\u304d\u304f\u5909\u308f\u308b<\/li>\n<\/ul>\n<h3>LOS 3\uff1aVaR\u306e\u63a8\u5b9a\u3068\u89e3\u91c8<\/h3>\n<p>\u30d1\u30e9\u30e1\u30c8\u30ea\u30c3\u30af\u6cd5\u3067\u306f\u3001\u30dd\u30fc\u30c8\u30d5\u30a9\u30ea\u30aa\u306e\u671f\u5f85\u30ea\u30bf\u30fc\u30f3\u304b\u3089<strong>\u4fe1\u983c\u6c34\u6e96\u306b\u5fdc\u3058\u305f\u6a19\u6e96\u504f\u5dee\u306e\u500d\u6570<\/strong>\u3092\u5dee\u3057\u5f15\u3044\u3066VaR\u3092\u6c42\u3081\u307e\u3059\u3002\u30d2\u30b9\u30c8\u30ea\u30ab\u30eb\u6cd5\u3068\u30e2\u30f3\u30c6\u30ab\u30eb\u30ed\u6cd5\u3067\u306f\u3001\u30ea\u30bf\u30fc\u30f3\u3092\u4e26\u3079\u305f\u5206\u5e03\u306e\u4e0b\u4f4d\u306e\u6307\u5b9a\u30d1\u30fc\u30bb\u30f3\u30bf\u30a4\u30eb\u5024\u3092\u8aad\u307f\u53d6\u308a\u307e\u3059\u3002<\/p>\n<ul>\n<li>5%VaR\uff1az \uff1d 1.65\u30011%VaR\uff1az \uff1d 2.33<\/li>\n<li>\u671f\u9593\u306e\u8abf\u6574\uff1a\u5e74\u6b21\u30c7\u30fc\u30bf\u3092\u65e5\u6b21\u306b\u3059\u308b\u306b\u306f\u5e73\u5747\u3092\u65e5\u6570\u3067\u3001\u6a19\u6e96\u504f\u5dee\u3092\u65e5\u6570\u306e\u5e73\u65b9\u6839\u3067\u5272\u308b<\/li>\n<li>\u30d2\u30b9\u30c8\u30ea\u30ab\u30eb\uff1a\u4f8b\u3048\u3070500\u500b\u306e\u30ea\u30bf\u30fc\u30f3\u30675%VaR\u306a\u3089\u4e0b\u304b\u308925\u756a\u76ee\u4ed8\u8fd1\u306e\u5024<\/li>\n<li>\u7d50\u679c\u306f\u30dd\u30fc\u30c8\u30d5\u30a9\u30ea\u30aa\u4fa1\u5024\u3092\u639b\u3051\u3066\u91d1\u984d\u306b\u63db\u7b97<\/li>\n<\/ul>\n<div class=\"cfalm-f\">VaR \uff1d\uff3bE(R\u209a) \u2212 z \u00d7 \u03c3\u209a\uff3d\u00d7 (\u22121) \u00d7 \u30dd\u30fc\u30c8\u30d5\u30a9\u30ea\u30aa\u4fa1\u5024<\/div>\n<h3>LOS 4\uff1aVaR\u306e\u9577\u6240\u3068\u9650\u754c<\/h3>\n<p>VaR\u306f<strong>\u5358\u7d14\u3067\u308f\u304b\u308a\u3084\u3059\u304f<\/strong>\u3001\u8cc7\u7523\u30af\u30e9\u30b9\u3084\u90e8\u9580\u9593\u306e\u30ea\u30b9\u30af\u6bd4\u8f03\u3001\u8cc7\u672c\u914d\u5206\u3001\u696d\u7e3e\u8a55\u4fa1\u306b\u4f7f\u3048\u3001<strong>\u30d0\u30c3\u30af\u30c6\u30b9\u30c8<\/strong>\u3067\u691c\u8a3c\u3067\u304d\u3001\u898f\u5236\u5f53\u5c40\u306b\u3082\u5e83\u304f\u53d7\u3051\u5165\u308c\u3089\u308c\u3066\u3044\u307e\u3059\u3002\u4e00\u65b9\u3067\u3001<strong>\u4e3b\u89b3\u7684\u306a\u9078\u629e\u306b\u654f\u611f<\/strong>\u3067\u3001\u30c6\u30fc\u30eb\u30fb\u30ea\u30b9\u30af\u3092\u904e\u5c0f\u8a55\u4fa1\u3057\u3084\u3059\u3044\u306a\u3069\u306e\u9650\u754c\u304c\u3042\u308a\u307e\u3059\u3002<\/p>\n<ul>\n<li>\u9577\u6240\uff1a\u6982\u5ff5\u304c\u7c21\u5358\u3067\u4f1d\u3048\u3084\u3059\u3044\u3001\u30ea\u30b9\u30af\u30921\u3064\u306e\u6570\u5024\u306b\u96c6\u7d04<\/li>\n<li>\u9577\u6240\uff1a\u6bd4\u8f03\u30fb\u8cc7\u672c\u914d\u5206\u30fb\u696d\u7e3e\u8a55\u4fa1\u3001\u30d0\u30c3\u30af\u30c6\u30b9\u30c8\u306b\u3088\u308b\u691c\u8a3c\u3001\u898f\u5236\u4e0a\u306e\u53d7\u5bb9<\/li>\n<li>\u9650\u754c\uff1a\u671f\u9593\u30fb\u4fe1\u983c\u6c34\u6e96\u30fb\u624b\u6cd5\u30fb\u30c7\u30fc\u30bf\u306e\u9078\u629e\u306b\u7d50\u679c\u304c\u5de6\u53f3\u3055\u308c\u308b<\/li>\n<li>\u9650\u754c\uff1a\u30c6\u30fc\u30eb\uff08VaR\u3092\u8d85\u3048\u308b\u640d\u5931\u306e\u5927\u304d\u3055\uff09\u3092\u793a\u3055\u306a\u3044\u3001\u6d41\u52d5\u6027\u30ea\u30b9\u30af\u3092\u898b\u843d\u3068\u3057\u3084\u3059\u3044<\/li>\n<li>\u9650\u754c\uff1a\u30b9\u30c8\u30ec\u30b9\u6642\u306b\u76f8\u95a2\u304c\u4e0a\u6607\u3059\u308b\u52b9\u679c\u3092\u904e\u5c0f\u8a55\u4fa1\u3057\u3084\u3059\u3044\u3001\u4e0a\u65b9\u306e\u6a5f\u4f1a\u3092\u7121\u8996<\/li>\n<\/ul>\n<h3>LOS 5\uff1aVaR\u306e\u62e1\u5f35<\/h3>\n<p>VaR\u306e\u5f31\u70b9\u3092\u88dc\u3046\u305f\u3081\u306b\u3001<strong>\u6761\u4ef6\u4ed8\u304dVaR\uff08CVaR\u3001\u671f\u5f85\u30b7\u30e7\u30fc\u30c8\u30d5\u30a9\u30fc\u30eb\uff09<\/strong>\u3001<strong>\u5897\u5206VaR<\/strong>\u3001<strong>\u9650\u754cVaR<\/strong>\u306a\u3069\u306e\u62e1\u5f35\u6307\u6a19\u304c\u4f7f\u308f\u308c\u307e\u3059\u3002<\/p>\n<ul>\n<li>CVaR\uff1aVaR\u3092\u8d85\u3048\u308b\u640d\u5931\u304c\u751f\u3058\u305f\u5834\u5408\u306e\u5e73\u5747\u640d\u5931\uff08\u30c6\u30fc\u30eb\u306e\u5927\u304d\u3055\uff09<\/li>\n<li>\u5897\u5206VaR\uff08IVaR\uff09\uff1a\u30dd\u30b8\u30b7\u30e7\u30f3\u306e\u8ffd\u52a0\u30fb\u5909\u66f4\u306b\u3088\u308bVaR\u306e\u5909\u5316<\/li>\n<li>\u9650\u754cVaR\uff08MVaR\uff09\uff1a\u30dd\u30b8\u30b7\u30e7\u30f3\u3092\u308f\u305a\u304b\u306b\u5909\u3048\u305f\u3068\u304d\u306eVaR\u306e\u5909\u5316\u7387\u3002\u30ea\u30b9\u30af\u5bc4\u4e0e\u5ea6\u306e\u628a\u63e1\u306b\u4f7f\u3046<\/li>\n<li>\u76f8\u5bfeVaR\uff08\u30a2\u30af\u30c6\u30a3\u30d6VaR\uff09\uff1a\u30d9\u30f3\u30c1\u30de\u30fc\u30af\u5bfe\u6bd4\u306e\u640d\u5931\u306e\u7a0b\u5ea6<\/li>\n<\/ul>\n<h3>LOS 6\uff1a\u611f\u5fdc\u5ea6\u6307\u6a19\u30fb\u30b7\u30ca\u30ea\u30aa\u6307\u6a19\u3068VaR\u306e\u6bd4\u8f03<\/h3>\n<p><strong>\u611f\u5fdc\u5ea6\u6307\u6a19<\/strong>\u306f\u30ea\u30b9\u30af\u30fb\u30d5\u30a1\u30af\u30bf\u30fc\u306e\u5c0f\u3055\u306a\u5909\u5316\u306b\u5bfe\u3059\u308b\u4fa1\u5024\u306e\u5909\u5316\u3092\u3001<strong>\u30b7\u30ca\u30ea\u30aa\u6307\u6a19<\/strong>\u306f\u7279\u5b9a\u306e\u30b7\u30ca\u30ea\u30aa\u3067\u306e\u640d\u76ca\u3092\u793a\u3057\u307e\u3059\u3002VaR\u304c\u78ba\u7387\u3092\u4f34\u3046\u640d\u5931\u306e\u5927\u304d\u3055\u3092\u793a\u3059\u306e\u306b\u5bfe\u3057\u3001\u3053\u308c\u3089\u306f\u78ba\u7387\u3092\u793a\u3055\u306a\u3044\u4ee3\u308f\u308a\u306b\u30ea\u30b9\u30af\u306e\u4e2d\u8eab\u3092\u5177\u4f53\u7684\u306b\u793a\u3057\u307e\u3059\u3002<\/p>\n<ul>\n<li>\u611f\u5fdc\u5ea6\u6307\u6a19\uff1a\u30d9\u30fc\u30bf\u3001\u30c7\u30e5\u30ec\u30fc\u30b7\u30e7\u30f3\u30fb\u30b3\u30f3\u30d9\u30af\u30b7\u30c6\u30a3\u3001\u30c7\u30eb\u30bf\u30fb\u30ac\u30f3\u30de\u30fb\u30d9\u30ac<\/li>\n<li>\u30b7\u30ca\u30ea\u30aa\u6307\u6a19\uff1a\u30d2\u30b9\u30c8\u30ea\u30ab\u30eb\u30fb\u30b7\u30ca\u30ea\u30aa\u3001\u4eee\u60f3\u30b7\u30ca\u30ea\u30aa\u3001\u30b9\u30c8\u30ec\u30b9\u30fb\u30c6\u30b9\u30c8<\/li>\n<li>VaR\u306f\u78ba\u7387\u3068\u640d\u5931\u984d\u3001\u611f\u5fdc\u5ea6\u30fb\u30b7\u30ca\u30ea\u30aa\u306f\u300c\u4f55\u304c\u8d77\u304d\u305f\u3089\u4f55\u304c\u8d77\u304d\u308b\u304b\u300d<\/li>\n<li>\u4f75\u7528\u306b\u3088\u308a\u30ea\u30b9\u30af\u3092\u591a\u9762\u7684\u306b\u628a\u63e1<\/li>\n<\/ul>\n<h3>LOS 7\uff1a\u682a\u5f0f\u30fb\u50b5\u5238\u30fb\u30aa\u30d7\u30b7\u30e7\u30f3\u306e\u30a8\u30af\u30b9\u30dd\u30fc\u30b8\u30e3\u30fc\u6307\u6a19<\/h3>\n<p>\u682a\u5f0f\u306f<strong>\u30d9\u30fc\u30bf<\/strong>\u3001\u50b5\u5238\u306f<strong>\u30c7\u30e5\u30ec\u30fc\u30b7\u30e7\u30f3\u3068\u30b3\u30f3\u30d9\u30af\u30b7\u30c6\u30a3<\/strong>\u3001\u30aa\u30d7\u30b7\u30e7\u30f3\u306f<strong>\u30c7\u30eb\u30bf\u30fb\u30ac\u30f3\u30de\u30fb\u30d9\u30ac<\/strong>\u3067\u3001\u5e02\u5834\u30ea\u30b9\u30af\u3084\u30dc\u30e9\u30c6\u30a3\u30ea\u30c6\u30a3\u30fb\u30ea\u30b9\u30af\u3078\u306e\u30a8\u30af\u30b9\u30dd\u30fc\u30b8\u30e3\u30fc\u3092\u6e2c\u308a\u7ba1\u7406\u3057\u307e\u3059\u3002<\/p>\n<ul>\n<li>\u30d9\u30fc\u30bf\uff1a\u5e02\u5834\u30ea\u30bf\u30fc\u30f3\u306b\u5bfe\u3059\u308b\u682a\u5f0f\u306e\u611f\u5fdc\u5ea6<\/li>\n<li>\u30c7\u30e5\u30ec\u30fc\u30b7\u30e7\u30f3\u30fb\u30b3\u30f3\u30d9\u30af\u30b7\u30c6\u30a3\uff1a\u91d1\u5229\u5909\u5316\u306b\u5bfe\u3059\u308b\u50b5\u5238\u4fa1\u683c\u306e\u5909\u5316<\/li>\n<li>\u30c7\u30eb\u30bf\uff1a\u539f\u8cc7\u7523\u4fa1\u683c\u306e\u5909\u5316\u306b\u5bfe\u3059\u308b\u30aa\u30d7\u30b7\u30e7\u30f3\u4fa1\u5024\u306e\u5909\u5316\u3001\u30ac\u30f3\u30de\uff1a\u30c7\u30eb\u30bf\u306e\u5909\u5316<\/li>\n<li>\u30d9\u30ac\uff1a\u30dc\u30e9\u30c6\u30a3\u30ea\u30c6\u30a3\u306e\u5909\u5316\u306b\u5bfe\u3059\u308b\u30aa\u30d7\u30b7\u30e7\u30f3\u4fa1\u5024\u306e\u5909\u5316<\/li>\n<li>\u30c7\u30ea\u30d0\u30c6\u30a3\u30d6\u3067\u30a8\u30af\u30b9\u30dd\u30fc\u30b8\u30e3\u30fc\u3092\u76ee\u6a19\u6c34\u6e96\u306b\u8abf\u6574<\/li>\n<\/ul>\n<div class=\"cfalm-f\">%\u0394P \u2248 \u2212\u4fee\u6b63\u30c7\u30e5\u30ec\u30fc\u30b7\u30e7\u30f3 \u00d7 \u0394y \uff0b \u00bd \u00d7 \u30b3\u30f3\u30d9\u30af\u30b7\u30c6\u30a3 \u00d7\uff08\u0394y\uff09\u00b2<\/div>\n<h3>LOS 8\uff1a\u611f\u5fdc\u5ea6\u6307\u6a19\u30fb\u30b7\u30ca\u30ea\u30aa\u6307\u6a19\u306e\u4f7f\u3044\u65b9<\/h3>\n<p>\u611f\u5fdc\u5ea6\u6307\u6a19\u306f\u3001\u30dd\u30b8\u30b7\u30e7\u30f3\u3054\u3068\u306e\u30ea\u30b9\u30af\u3092\u628a\u63e1\u3057\u3001<strong>\u30d8\u30c3\u30b8\u6bd4\u7387<\/strong>\u3084\u30a8\u30af\u30b9\u30dd\u30fc\u30b8\u30e3\u30fc\u306e\u9650\u5ea6\u3092\u8a2d\u5b9a\u3059\u308b\u306e\u306b\u4f7f\u3044\u307e\u3059\u3002\u30b7\u30ca\u30ea\u30aa\u5206\u6790\u306f\u3001<strong>\u30d2\u30b9\u30c8\u30ea\u30ab\u30eb\u30fb\u30b7\u30ca\u30ea\u30aa<\/strong>\u3084<strong>\u4eee\u60f3\u30b7\u30ca\u30ea\u30aa<\/strong>\u3001<strong>\u30b9\u30c8\u30ec\u30b9\u30fb\u30c6\u30b9\u30c8<\/strong>\u306b\u3088\u3063\u3066\u6975\u7aef\u306a\u72b6\u6cc1\u3067\u306e\u640d\u5931\u3092\u8a55\u4fa1\u3057\u307e\u3059\u3002<\/p>\n<ul>\n<li>\u30d2\u30b9\u30c8\u30ea\u30ab\u30eb\u30fb\u30b7\u30ca\u30ea\u30aa\uff1a\u904e\u53bb\u306e\u5371\u6a5f\u6642\u306e\u5e02\u5834\u5909\u52d5\u3092\u73fe\u5728\u306e\u30dd\u30fc\u30c8\u30d5\u30a9\u30ea\u30aa\u306b\u5f53\u3066\u306f\u3081\u308b<\/li>\n<li>\u4eee\u60f3\u30b7\u30ca\u30ea\u30aa\uff1a\u8d77\u3053\u308a\u5f97\u308b\u304c\u904e\u53bb\u306b\u306a\u3044\u4e8b\u8c61\u3092\u60f3\u5b9a<\/li>\n<li>\u30ea\u30d0\u30fc\u30b9\u30fb\u30b9\u30c8\u30ec\u30b9\u30fb\u30c6\u30b9\u30c8\uff1a\u8010\u3048\u3089\u308c\u306a\u3044\u640d\u5931\u3092\u751f\u3080\u6761\u4ef6\u304b\u3089\u9006\u7b97<\/li>\n<li>\u30b9\u30c8\u30ec\u30b9\u30fb\u30c6\u30b9\u30c8\uff1a\u6975\u7aef\u3060\u304c\u8d77\u3053\u308a\u3046\u308b\u72b6\u6cc1\u3067\u306e\u640d\u5931\u3092\u8a55\u4fa1<\/li>\n<li>\u611f\u5fdc\u5ea6\u3068\u30b7\u30ca\u30ea\u30aa\u3092\u7d44\u307f\u5408\u308f\u305b\u3066\u640d\u76ca\u3092\u63a8\u5b9a<\/li>\n<\/ul>\n<h3>LOS 9\uff1a\u611f\u5fdc\u5ea6\u6307\u6a19\u30fb\u30b7\u30ca\u30ea\u30aa\u6307\u6a19\u306e\u9577\u6240\u3068\u9650\u754c<\/h3>\n<p>\u611f\u5fdc\u5ea6\u6307\u6a19\u306f<strong>\u308f\u304b\u308a\u3084\u3059\u304f<\/strong>\u30d8\u30c3\u30b8\u306b\u76f4\u7d50\u3057\u307e\u3059\u304c\u3001\u5927\u304d\u306a\u5909\u5316\u3067\u306f\u8fd1\u4f3c\u304c\u4e0d\u6b63\u78ba\u306b\u306a\u308a\u3001\u7570\u306a\u308b\u8cc7\u7523\u9593\u3067\u6bd4\u8f03\u3057\u306b\u304f\u3044\u3068\u3044\u3046\u9650\u754c\u304c\u3042\u308a\u307e\u3059\u3002\u30b7\u30ca\u30ea\u30aa\u6307\u6a19\u306f<strong>\u30c6\u30fc\u30eb\u30fb\u30ea\u30b9\u30af<\/strong>\u3092\u5177\u4f53\u7684\u306b\u793a\u305b\u307e\u3059\u304c\u3001\u30b7\u30ca\u30ea\u30aa\u306e\u9078\u629e\u304c\u4e3b\u89b3\u7684\u3067\u78ba\u7387\u304c\u793a\u3055\u308c\u307e\u305b\u3093\u3002<\/p>\n<ul>\n<li>\u611f\u5fdc\u5ea6\uff1a\u5c0f\u3055\u306a\u5909\u5316\u306b\u5bfe\u3059\u308b\u8fd1\u4f3c\u3067\u3001\u5927\u304d\u306a\u5909\u5316\u3067\u306f\u4e0d\u6b63\u78ba<\/li>\n<li>\u611f\u5fdc\u5ea6\uff1a\u8cc7\u7523\u306e\u7a2e\u985e\u3054\u3068\u306b\u6307\u6a19\u304c\u7570\u306a\u308a\u96c6\u8a08\u3057\u306b\u304f\u3044<\/li>\n<li>\u30d2\u30b9\u30c8\u30ea\u30ab\u30eb\u30fb\u30b7\u30ca\u30ea\u30aa\uff1a\u904e\u53bb\u306e\u518d\u73fe\u306b\u3068\u3069\u307e\u308a\u3001\u5c06\u6765\u306e\u65b0\u305f\u306a\u4e8b\u8c61\u3092\u6349\u3048\u3089\u308c\u306a\u3044<\/li>\n<li>\u4eee\u60f3\u30b7\u30ca\u30ea\u30aa\uff1a\u4f5c\u6210\u304c\u96e3\u3057\u304f\u3001\u76f8\u95a2\u3084\u30d5\u30a1\u30af\u30bf\u30fc\u306e\u9023\u52d5\u3092\u9069\u5207\u306b\u8a2d\u5b9a\u3059\u308b\u5fc5\u8981<\/li>\n<li>\u30b7\u30ca\u30ea\u30aa\uff1a\u767a\u751f\u78ba\u7387\u304c\u308f\u304b\u3089\u306a\u3044<\/li>\n<\/ul>\n<h3>LOS 10\uff1a\u5e02\u5834\u30ea\u30b9\u30af\u7ba1\u7406\u306e\u5236\u7d04<\/h3>\n<p>\u5e02\u5834\u30ea\u30b9\u30af\u306f<strong>\u30ea\u30b9\u30af\u30fb\u30d0\u30b8\u30a7\u30c3\u30c6\u30a3\u30f3\u30b0<\/strong>\u3001<strong>\u30dd\u30b8\u30b7\u30e7\u30f3\u9650\u5ea6<\/strong>\u3001<strong>\u30b7\u30ca\u30ea\u30aa\u9650\u5ea6<\/strong>\u3001<strong>\u30b9\u30c8\u30c3\u30d7\u30ed\u30b9\u9650\u5ea6<\/strong>\u306a\u3069\u306e\u5236\u7d04\u306b\u3088\u3063\u3066\u7ba1\u7406\u3057\u307e\u3059\u3002\u3069\u306e\u5236\u7d04\u3082\u5358\u72ec\u3067\u306f\u4e0d\u5341\u5206\u3067\u3001\u7d44\u307f\u5408\u308f\u305b\u3066\u4f7f\u3044\u307e\u3059\u3002<\/p>\n<ul>\n<li>\u30ea\u30b9\u30af\u30fb\u30d0\u30b8\u30a7\u30c3\u30c6\u30a3\u30f3\u30b0\uff1a\u5168\u4f53\u306e\u8a31\u5bb9\u30ea\u30b9\u30af\u3092\u90e8\u9580\u3084\u904b\u7528\u8005\u306b\u914d\u5206<\/li>\n<li>\u30dd\u30b8\u30b7\u30e7\u30f3\u9650\u5ea6\uff1a\u7279\u5b9a\u306e\u30dd\u30b8\u30b7\u30e7\u30f3\u306e\u5927\u304d\u3055\u3092\u5236\u9650\uff08\u96c6\u4e2d\u3092\u9632\u3050\uff09<\/li>\n<li>\u30b7\u30ca\u30ea\u30aa\u9650\u5ea6\uff1a\u7279\u5b9a\u306e\u30b7\u30ca\u30ea\u30aa\u3067\u8a31\u5bb9\u3055\u308c\u308b\u640d\u5931\u306e\u4e0a\u9650<\/li>\n<li>\u30b9\u30c8\u30c3\u30d7\u30ed\u30b9\u9650\u5ea6\uff1a\u640d\u5931\u304c\u4e00\u5b9a\u6c34\u6e96\u306b\u9054\u3057\u305f\u3089\u30dd\u30b8\u30b7\u30e7\u30f3\u3092\u7e2e\u5c0f\u30fb\u89e3\u6d88<\/li>\n<li>\u9650\u5ea6\u304c\u53b3\u3057\u3059\u304e\u308b\u3068\u6a5f\u4f1a\u3092\u9003\u3057\u3001\u7de9\u3059\u304e\u308b\u3068\u904e\u5927\u306a\u30ea\u30b9\u30af\u3092\u8a31\u3059<\/li>\n<\/ul>\n<h3>LOS 11\uff1a\u30ea\u30b9\u30af\u6307\u6a19\u3068\u8cc7\u672c\u914d\u5206<\/h3>\n<p>\u30ea\u30b9\u30af\u6307\u6a19\u306f\u3001\u3069\u306e\u4e8b\u696d\u3084\u904b\u7528\u8005\u306b<strong>\u8cc7\u672c\uff08\u30ea\u30b9\u30af\u8cc7\u672c\uff09<\/strong>\u3092\u914d\u5206\u3059\u308b\u304b\u306e\u5224\u65ad\u306b\u4f7f\u308f\u308c\u307e\u3059\u3002\u30ea\u30b9\u30af\u306b\u5bfe\u3059\u308b\u30ea\u30bf\u30fc\u30f3\u304c\u9ad8\u3044\u6d3b\u52d5\u306b\u591a\u304f\u306e\u8cc7\u672c\u3092\u914d\u5206\u3057\u3001\u5168\u4f53\u306e\u52b9\u7387\u3092\u9ad8\u3081\u308b\u3053\u3068\u304c\u76ee\u7684\u3067\u3059\u3002<\/p>\n<ul>\n<li>\u30ea\u30b9\u30af\u8abf\u6574\u5f8c\u306e\u30ea\u30bf\u30fc\u30f3\uff08\u30ea\u30b9\u30af\u8cc7\u672c\u5f53\u305f\u308a\u306e\u30ea\u30bf\u30fc\u30f3\uff09\u3067\u6d3b\u52d5\u3092\u6bd4\u8f03<\/li>\n<li>\u540d\u76ee\u4e0a\u306e\u8cc7\u672c\u3067\u306f\u306a\u304f\u3001VaR\u306a\u3069\u3067\u6e2c\u3063\u305f\u30ea\u30b9\u30af\u8cc7\u672c\u3092\u914d\u5206<\/li>\n<li>\u9650\u754cVaR\u3084\u5897\u5206VaR\u3067\u65b0\u898f\u30dd\u30b8\u30b7\u30e7\u30f3\u306e\u5f71\u97ff\u3092\u8a55\u4fa1<\/li>\n<li>\u6700\u4f4e\u9650\u306e\u76ee\u6a19\u30ea\u30bf\u30fc\u30f3\u3092\u4e0a\u56de\u308b\u6d3b\u52d5\u306b\u8cc7\u672c\u3092\u914d\u5206<\/li>\n<\/ul>\n<h3>LOS 12\uff1a\u7d44\u7e54\u306e\u7a2e\u985e\u3054\u3068\u306e\u30ea\u30b9\u30af\u6307\u6a19<\/h3>\n<p><strong>\u9280\u884c<\/strong>\u3001<strong>\u8cc7\u7523\u904b\u7528\u4f1a\u793e<\/strong>\u3001<strong>\u5e74\u91d1\u57fa\u91d1<\/strong>\u3001<strong>\u4fdd\u967a\u4f1a\u793e<\/strong>\u306f\u3001\u8ca0\u50b5\u306e\u6027\u8cea\u3084\u898f\u5236\u304c\u7570\u306a\u308b\u305f\u3081\u3001\u91cd\u8996\u3059\u308b\u30ea\u30b9\u30af\u6307\u6a19\u304c\u7570\u306a\u308a\u307e\u3059\u3002<\/p>\n<ul>\n<li>\u9280\u884c\uff1a\u8cc7\u7523\u3068\u8ca0\u50b5\u306e\u4e21\u9762\u3001\u6d41\u52d5\u6027\u3001\u30ec\u30d0\u30ec\u30c3\u30b8\u3001VaR\u30fb\u30b9\u30c8\u30ec\u30b9\u30fb\u30c6\u30b9\u30c8\u3001\u7d4c\u6e08\u8cc7\u672c<\/li>\n<li>\u8cc7\u7523\u904b\u7528\u4f1a\u793e\uff1a\u30d9\u30f3\u30c1\u30de\u30fc\u30af\u5bfe\u6bd4\u306e\u30ea\u30b9\u30af\uff08\u30c8\u30e9\u30c3\u30ad\u30f3\u30b0\u30fb\u30a8\u30e9\u30fc\u3001\u30a2\u30af\u30c6\u30a3\u30d6\u30fb\u30b7\u30a7\u30a2\uff09\u3001\u6d41\u52d5\u6027\u3001\u30c9\u30ed\u30fc\u30c0\u30a6\u30f3<\/li>\n<li>\u5e74\u91d1\u57fa\u91d1\uff1a\u7a4d\u7acb\u6c34\u6e96\uff08\u30b5\u30fc\u30d7\u30e9\u30b9\uff09\u306e\u30ea\u30b9\u30af\u3001\u8ca0\u50b5\u3068\u306e\u30c7\u30e5\u30ec\u30fc\u30b7\u30e7\u30f3\u30fb\u30ae\u30e3\u30c3\u30d7\u3001\u30b5\u30fc\u30d7\u30e9\u30b9\u30fb\u30a2\u30c3\u30c8\u30fb\u30ea\u30b9\u30af<\/li>\n<li>\u640d\u5bb3\u4fdd\u967a\uff1a\u4fdd\u967a\u5f15\u53d7\u30ea\u30b9\u30af\u3068\u306e\u30d0\u30e9\u30f3\u30b9\u3092\u8e0f\u307e\u3048\u305f\u8cc7\u7523\u5074\u306e\u5e02\u5834\u30ea\u30b9\u30af\u7ba1\u7406<\/li>\n<li>\u751f\u547d\u4fdd\u967a\uff1a\u8cc7\u7523\u3068\u8ca0\u50b5\u306e\u91d1\u5229\u611f\u5fdc\u5ea6\u306e\u30de\u30c3\u30c1\u30f3\u30b0\u3001\u30b9\u30c8\u30ec\u30b9\u30fb\u30c6\u30b9\u30c8<\/li>\n<\/ul>\n<h2>\u52b9\u7387\u3088\u304f\u5b66\u3076\u306b\u306f FA-Academy<\/h2>\n<p>CFA\u00ae\ufe0e\u306e\u5354\u4f1a\u30c6\u30ad\u30b9\u30c8\u306f\u82f1\u8a9e\u3067\u5206\u91cf\u3082\u591a\u304f\u30011\u3064\u3072\u3068\u3064\u306e\u5358\u5143\u3092\u82f1\u8a9e\u3060\u3051\u3067\u7406\u89e3\u3057\u3066\u3044\u304f\u306e\u306f\u5927\u304d\u306a\u8ca0\u62c5\u3067\u3059\u3002<\/p>\n<p>FA-Academy\uff08Financial Analyst Academy\uff09\u306f\u3001<strong>\u65e5\u672c\u8a9e\u3067\u5b66\u3079\u308b\u6570\u5c11\u306a\u3044CFA\u00ae\ufe0e\u8a66\u9a13\u30b5\u30dd\u30fc\u30c8<\/strong>\u3067\u3059\u3002\u3053\u308c\u307e\u3067 Level 1 \u304b\u3089 Level 3 \u307e\u3067\u591a\u304f\u306e\u5408\u683c\u8005\u3092\u8f29\u51fa\u3057\u3066\u304a\u308a\u3001\u5408\u683c\u8005\u306e\u65b9\u3005\u3068\u306e\u5bfe\u8ac7\u3082\u6570\u591a\u304f\u516c\u958b\u3057\u3066\u3044\u307e\u3059\u3002\u3069\u3093\u306a\u65b9\u304c\u3001\u3069\u306e\u3088\u3046\u306b\u5408\u683c\u3055\u308c\u305f\u306e\u304b\u306f<a href=\"https:\/\/triumphmind.com\/cfa\/category\/gokaku\/\" target=\"_blank\" rel=\"noopener\">\u5408\u683c\u8005\u5bfe\u8ac7\u30fb\u5408\u683c\u4f53\u9a13\u8ac7\u306e\u4e00\u89a7<\/a>\u304b\u3089\u3054\u89a7\u3044\u305f\u3060\u3051\u307e\u3059\u3002<\/p>\n<ul>\n<li><a href=\"https:\/\/triumphmind.com\/cfa\/level2movie\/\" target=\"_blank\" rel=\"noopener\">Level 2 \u65e5\u672c\u8a9e\u8981\u70b9\u96c6\u306e\u7121\u6599\u30b5\u30f3\u30d7\u30eb\u3092\u53d7\u3051\u53d6\u308b\uff087\u65e5\u9593\u30e1\u30fc\u30eb\u8b1b\u5ea7\uff09<\/a><\/li>\n<li><a href=\"https:\/\/timerex.net\/s\/cfa.tips.slack_2a23\/e72e883e\/\" target=\"_blank\" rel=\"noopener\">\u7121\u6599\u500b\u5225\u9762\u8ac7\u3092\u4e88\u7d04\u3059\u308b\uff08\u5b66\u7fd2\u8a08\u753b\u306e\u3054\u76f8\u8ac7\uff09<\/a><\/li>\n<li><a href=\"https:\/\/triumphmind.com\/cfa\/course\/\" target=\"_blank\" rel=\"noopener\">\u53d7\u8b1b\u6848\u5185\uff08\u30b3\u30fc\u30b9\u4e00\u89a7\u30fb\u53d7\u8b1b\u6599\uff09\u3092\u898b\u308b<\/a><\/li>\n<\/ul>\n<div class=\"cfalm-nav\">\u524d\u306e\u5358\u5143\uff1a<a href=\"https:\/\/triumphmind.com\/cfa\/2026\/09\/22\/cfa-l2-pc-lm4\/\">LM4 Using Multifactor Models\uff08\u30de\u30eb\u30c1\u30d5\u30a1\u30af\u30bf\u30fc\u30fb\u30e2\u30c7\u30eb\u306e\u6d3b\u7528\uff09<\/a><br \/>\n\u6b21\u306e\u5358\u5143\uff1a<a href=\"https:\/\/triumphmind.com\/cfa\/2026\/09\/22\/cfa-l2-pc-lm6\/\">LM6 Backtesting and Simulation\uff08\u30d0\u30c3\u30af\u30c6\u30b9\u30c8\u3068\u30b7\u30df\u30e5\u30ec\u30fc\u30b7\u30e7\u30f3\uff09<\/a><br \/>\n\u5168\u4f53\u306e\u76ee\u6b21\uff1a<a href=\"https:\/\/triumphmind.com\/cfa\/cfa-curriculum\/#l2-pc\">CFA\u00ae\ufe0e \u5b66\u7fd2\u5185\u5bb9\u306e\u76ee\u6b21\uff08Level 2 Portfolio Construction\uff09<\/a><\/div>\n","protected":false},"excerpt":{"rendered":"<p>CFA\u00ae\ufe0e Level 2 Portfolio Construction LM5\u300cMeasuring and Managing Market Risk\uff08\u5e02\u5834\u30ea\u30b9\u30af\u306e\u6e2c\u5b9a\u3068\u7ba1\u7406\uff09\u300d\u306eLOS\uff08\u5b66\u7fd2\u76ee\u6a19\uff09\u3068\u91cd\u8981\u8ad6\u70b9\u3092\u3001\u6700\u65b0\u7248\u30ab\u30ea\u30ad\u30e5\u30e9\u30e0\u306b\u57fa\u3065\u3044\u3066\u65e5\u672c\u8a9e\u3067\u6574\u7406\u3057\u307e\u3057\u305f\u3002<\/p>\n","protected":false},"author":1,"featured_media":11204,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"_jin_ogp_image_url":"","_jin_last_featured_id":0,"footnotes":""},"categories":[99],"tags":[],"class_list":["post-10858","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-level2-topics"],"_links":{"self":[{"href":"https:\/\/triumphmind.com\/cfa\/wp-json\/wp\/v2\/posts\/10858","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/triumphmind.com\/cfa\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/triumphmind.com\/cfa\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/triumphmind.com\/cfa\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/triumphmind.com\/cfa\/wp-json\/wp\/v2\/comments?post=10858"}],"version-history":[{"count":2,"href":"https:\/\/triumphmind.com\/cfa\/wp-json\/wp\/v2\/posts\/10858\/revisions"}],"predecessor-version":[{"id":11364,"href":"https:\/\/triumphmind.com\/cfa\/wp-json\/wp\/v2\/posts\/10858\/revisions\/11364"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/triumphmind.com\/cfa\/wp-json\/wp\/v2\/media\/11204"}],"wp:attachment":[{"href":"https:\/\/triumphmind.com\/cfa\/wp-json\/wp\/v2\/media?parent=10858"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/triumphmind.com\/cfa\/wp-json\/wp\/v2\/categories?post=10858"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/triumphmind.com\/cfa\/wp-json\/wp\/v2\/tags?post=10858"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}