Quantitative Management of Group-Wide Market Risk Using VaR and Other Measures
First written in FY2017. 3 of 8 entries say "Worsened", first in FY2021. Latest entry: FY2026.
Yokohama Financial Group moved to the "Worse" side of this theme in 2021, 2 years after the typical company in this theme (2019).
The whole theme swung hardest in 2024: 3 of 6 companies on the "Worse" side.
1 other company's latest entry also says "Mitigated".
- FY2026MitigatedAnnual report
「As of 31 March 2026, the market-risk exposure in trading operations, representing the estimated loss amount, was ¥76 million in total, compared with ¥112 million at the end of the previous consolidated fiscal year. The market-risk exposure in banking operations was ¥245,941 million in total, compared with ¥299,509 million at the end of the previous consolidated fiscal year.」
While continuing quantitative management using VaR and other measures, market-risk exposure decreased from the end of the previous fiscal year in both trading and banking operations. - FY2025Decrease in market-risk exposureAnnual report
「As of 31 March 2025, the market-risk exposure in trading operations, representing the estimated loss amount, was ¥112 million in total, compared with ¥106 million at the end of the previous consolidated fiscal year. The market-risk exposure in banking operations was ¥299,509 million in total, compared with ¥313,896 million at the end of the previous consolidated fiscal year.」
While continuing quantitative management using VaR and other measures, market-risk exposure in trading operations increased, while market-risk exposure in banking operations decreased. - FY2024Changes in market-risk exposure by businessAnnual report
「As of 31 March 2024, the market-risk exposure in trading operations, representing the estimated loss amount, was ¥106 million in total, compared with ¥94 million at the end of the previous consolidated fiscal year. The market-risk exposure in banking operations was ¥313,896 million in total, compared with ¥325,394 million at the end of the previous consolidated fiscal year.」
While continuing quantitative management using VaR and other measures, market-risk exposure increased in trading operations and decreased in banking operations. - FY2023WorsenedAnnual report
「As of 31 March 2023, the market-risk exposure in trading operations, representing the estimated loss amount, was ¥94 million in total, compared with ¥91 million at the end of the previous consolidated fiscal year. The market-risk exposure in banking operations was ¥325,394 million in total, compared with ¥252,445 million at the end of the previous consolidated fiscal year.」
While continuing quantitative management using VaR and other measures, the market-risk exposure in banking operations increased from ¥252,445 million to ¥325,394 million. - FY2022WorsenedAnnual report
「As of 31 March 2022, the market-risk exposure in trading operations, representing the estimated loss amount, was ¥91 million in total, compared with ¥57 million at the end of the previous consolidated fiscal year. The market-risk exposure in banking operations was ¥252,445 million in total, compared with ¥242,625 million at the end of the previous consolidated fiscal year.」
Market-risk exposures increased from the end of the previous fiscal year in both trading and banking operations. - FY2021WorsenedAnnual report
「In measuring market risk, our Group combines VaR (value at risk), BPV (basis point value), and other effective and efficient measurement methods suited to the characteristics of each business and its operating policies. As of 31 March 2021, the market-risk exposure in trading operations, representing the estimated loss amount, was ¥57 million in total, compared with ¥24 million at the end of the previous consolidated fiscal year. The market-risk exposure in banking operations was ¥242,625 million in total, compared with ¥150,598 million at the end of the previous consolidated fiscal year.」
While continuing quantitative management using VaR and other measures, market-risk exposures increased from the end of the previous fiscal year in both trading and banking operations. - FY2018AdvancedAnnual report
「In principle, our Group conducts quantitative analysis of market risk for all financial instruments, primarily using VaR. VaR is calculated using the historical simulation method, based on an observation period of 1,250 days. The holding period is set at 10 days for financial instruments held for trading purposes, while for financial instruments held for purposes other than trading, namely, financial instruments related to banking operations, an appropriate period is set mainly between 1 month and 1 year, taking into account the period required to unwind positions. VaR for the Group as a whole is calculated at a 99.9% confidence interval.」
The company reconfirmed its quantitative management methodology using VaR and other measures, and disclosed actual market-risk exposures for trading and banking operations. - FY2017First statedAnnual report
「In principle, our Group conducts quantitative analysis of market risk for all financial instruments, primarily using VaR. VaR is calculated using the historical simulation method, based on an observation period of 1,250 days. The holding period is set at 10 days for financial instruments held for trading purposes, while for financial instruments held for purposes other than trading, namely, financial instruments related to banking operations, an appropriate period is set mainly between 1 month and 1 year, taking into account the period required to unwind positions. VaR for the Group as a whole is calculated at a 99.9% confidence interval.」
The company disclosed for the first time specific details of its quantitative market-risk management methodology, including VaR, a 1,250-day observation period, holding periods, and a 99.9% confidence interval.