Market Risk Management through ALM, VaR and Committees
First written in FY2023-Q1. 3 of 6 entries say "Advanced", first in FY2023. Latest entry: FY2026.
The whole theme swung hardest in 2026: 8 of 35 companies on the "Worse" side.
13 other companies' latest entry also says "Advanced".
- FY2026AdvancedAnnual report
「As of 31 March 2026, the balance-sheet date for the consolidated fiscal year, the total market risk amount of the consolidated subsidiaries engaged in banking, estimated as the loss amount, was ¥14,896 million (¥24,874 million at the end of the previous consolidated fiscal year).」
Regarding market risk management through ALM, VaR and committee reporting, the market risk amount after the merger declined from ¥24,874 million to ¥14,896 million, and 250 backtests and 8 exceptions were also disclosed. - FY2025AdvancedAnnual report
「As of 31 March 2025, the total market risk amount of the consolidated subsidiaries engaged in banking, estimated as the loss amount, was ¥24,874 million (¥25,664 million at the end of the previous consolidated fiscal year).」
The market risk amount for the banks after the merger was disclosed annually in connection with market risk management through ALM, VaR and other measures. - FY2023AdvancedAnnual report
「As of 31 March 2023, the Group's VaR, calculated by simply aggregating the market risk amounts of its consolidated subsidiaries engaged in banking, was ¥36,294 million.」
Regarding market risk management through ALM, VaR and committee operations, the Group's VaR was disclosed for the first time on an annual basis, making Group-level management more specific. - FY2023-Q3RestatedAnnual report
「The Group manages interest rate fluctuation risk through ALM. The Market Risk Management Rules and other policies specify the risk management methods and procedures in detail. In day-to-day operations, the Risk Management Department comprehensively monitors the maturities of interest-bearing financial assets and liabilities and uses methods including gap analysis, interest-rate sensitivity analysis and VaR (value at risk).」
Market risk management using ALM, gap analysis, interest-rate sensitivity analysis, VaR and committee reporting continues. - FY2023-Q2RestatedAnnual report
「The Group manages interest rate fluctuation risk through ALM. The Market Risk Management Rules and other policies specify the risk management methods and procedures in detail. In day-to-day operations, the Risk Management Department comprehensively monitors the maturities of interest-bearing financial assets and liabilities and uses methods including gap analysis, interest-rate sensitivity analysis and VaR (value at risk).」
Market risk management using ALM, gap analysis, interest-rate sensitivity analysis, VaR and committee reporting continues. - FY2023-Q1First statedAnnual report
「The Group manages interest rate fluctuation risk through ALM. The Market Risk Management Rules and other policies specify the risk management methods and procedures in detail. In day-to-day operations, the Risk Management Department comprehensively monitors the maturities of interest-bearing financial assets and liabilities and uses methods including gap analysis, interest-rate sensitivity analysis and VaR (value at risk).」
A market risk management framework using ALM, gap analysis, interest-rate sensitivity analysis, VaR and monthly committees is described.