Market risk management through BPV, VaR and risk limits
First written in FY2017. 4 of 8 entries say "Worsened", first in FY2021. Latest entry: FY2026.
Nishi-Nippon Financial Holdings moved to the "Worse" side of this theme in 2021, the same year as the typical company in this theme.
The whole theme swung hardest in 2022: 11 of 16 companies on the "Worse" side.
8 other companies' latest entry also says "Worsened".
- FY2026WorsenedAnnual report
「As of 31 March 2026, the market risk amount for the Group as a whole was ¥93,466 million (¥75,816 million as of 31 March 2025).」
It continues to manage market risk through the separation of the front, back and middle offices, BPV, VaR, risk limits and backtesting, but market risk increased. At Nagasaki Bank, losses exceeded VaR multiple times, and VaR was adjusted. - FY2025MitigatedAnnual report
「As of 31 March 2025, market risk for the Group as a whole was ¥75,816 million, compared with ¥82,256 million as of 31 March 2024.」
While it continues to manage market risk through BPV, VaR, risk limits and backtesting, market risk declined from ¥82.256 billion to ¥75.816 billion. - FY2023WorsenedAnnual report
「As of 31 March 2023, market risk for the Group as a whole was ¥73,872 million, compared with ¥69,811 million as of 31 March 2022. The financial instruments subject to measurement at the consolidated subsidiaries engaged in banking operations include loans, deposits, securities and derivative transactions. The Group measures market risk using historical VaR with a 5-year observation period, a 99% confidence interval and a 6-month holding period.」
The methods for measuring and checking market risk remain in place, but market risk increased. - FY2022WorsenedAnnual report
「As of 31 March 2022, the market risk amount for the Group as a whole was ¥69,811 million (¥53,172 million as of 31 March 2021).」
It continues to manage market risk through the separation of the front, back and middle offices, BPV, VaR, risk limits and backtesting, but market risk increased. - FY2021WorsenedAnnual report
「As of 31 March 2021, the market risk amount for the Group as a whole was ¥53,172 million (¥30,369 million as of 31 March 2020).」
It continues to manage market risk through BPV, VaR, risk limits and backtesting, but market risk increased from the previous fiscal year. - FY2020MitigatedAnnual report
「As of 31 March 2020, market risk for the Group as a whole was ¥30,369 million, compared with ¥33,368 million as of 31 March 2019.」
It continues to manage market risk through BPV, VaR, risk limits and backtesting, while market risk declined from ¥33.368 billion to ¥30.369 billion. - FY2019AdvancedAnnual report
「As of 31 March 2019, market risk for the Group as a whole was ¥33,368 million, compared with ¥32,745 million as of 31 March 2018.」
In addition to BPV, VaR, risk limits and checks by the middle office, it discloses the current measurement practices based on historical VaR with a 5-year observation period, a 99% confidence interval and a 6-month holding period, as well as backtesting. - FY2017First statedAnnual report
「While seeking to enhance its management methods through multiple risk measurement techniques, including BPV and VaR, we set market risk limits and work to achieve stable earnings by controlling market risk within an acceptable range.」
For the first time, it details multiple measurement methods, risk limits and checks by the middle office as components of the market risk management framework. It states that market risk as of 31 March 2017 was ¥31.581 billion and that the confidence interval for historical VaR was 99%.