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F4608
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25
( )
10
A B 0.9% 10 99% 1
0.1% 1,100 (independent each
other) (value at risk, VaR) 3
(conditional value at risk) 3
A 99% 3
A 99% 3
A B (portfolio) 99%
3 A B
A B (portfolio) 99%
3 A B (subadditivity condition) 3
4
(Basel Capital Accord) Basel 1 Basel 2 Basel 3
25
5 7
8
5
8
10 7