Quantitative Market Risk Management Using VaR
First written in FY2017. 4 of 9 entries say "Mitigated", first in FY2021. Latest entry: FY2026.
The whole theme swung hardest in 2022: 9 of 14 companies on the "Worse" side.
7 other companies' latest entry also says "Mitigated".
- FY2026MitigatedAnnual report
「As of 31 March 2026, our bank's total market risk was ¥69,392 million (¥76,726 million as of 31 March 2025). Our bank also conducts backtesting by comparing calculated VaR with actual profit or loss, and has confirmed that the measurement model used in the calculation appropriately captures market risk.」
Market risk measured using VaR decreased from ¥7,672.6 million to ¥6,939.2 million. Measurement based on a 120-day holding period, a 99% confidence interval and a one-year observation period, together with backtesting, is continuing. - FY2025MitigatedAnnual report
「As of 31 March 2025, our bank's total market risk was ¥76,726 million (¥89,281 million as of 31 March 2024). Our bank also conducts backtesting by comparing calculated VaR with actual profit or loss, and has confirmed that the measurement model used in the calculation appropriately captures market risk.」
Market risk measured using VaR decreased from ¥8,928.1 million to ¥7,672.6 million. Measurement based on a 120-day holding period, a 99% confidence interval and a one-year observation period, together with backtesting, is continuing. - FY2024MitigatedAnnual report
「As of 31 March 2024, our bank's total market risk was ¥89,281 million (¥109,119 million as of 31 March 2023). Our bank also conducts backtesting by comparing calculated VaR with actual profit or loss, and has confirmed that the measurement model used in the calculation appropriately captures market risk.」
Market risk measured using VaR decreased from ¥10,911.9 million to ¥8,928.1 million. Measurement based on a 120-day holding period, a 99% confidence interval and a one-year observation period, together with backtesting, is continuing. - FY2022Increase in market risk exposureAnnual report
「As of 31 March 2022, our bank's total market risk was ¥54,939 million (¥49,900 million as of 31 March 2021). Our bank also conducts backtesting by comparing calculated VaR with actual profit or loss, and has confirmed that the measurement model used in the calculation appropriately captures market risk.」
Market risk measured using VaR increased from ¥4,990 million to ¥5,493.9 million. Measurement based on a 120-day holding period, a 99% confidence interval and a one-year observation period, together with backtesting, is continuing. - FY2021MitigatedAnnual report
「As of 31 March 2021, our bank's total market risk was ¥49,900 million (¥50,895 million as of 31 March 2020). Our bank also conducts backtesting by comparing calculated VaR with actual profit or loss, and has confirmed that the measurement model used in the calculation appropriately captures market risk.」
Market risk measured using VaR decreased from ¥5,089.5 million to ¥4,990 million. Measurement based on a 120-day holding period, a 99% confidence interval and a one-year observation period, together with backtesting, is continuing. - FY2020Increase in market risk exposureAnnual report
「As of 31 March 2020, our bank's total market risk was ¥50,895 million (¥24,197 million as of 31 March 2019). Our bank also conducts backtesting by comparing calculated VaR with actual profit or loss, and has confirmed that the measurement model used in the calculation appropriately captures market risk.」
Market risk measured using VaR increased from ¥2,419.7 million to ¥5,089.5 million. Verification using the variance-covariance method, with a 120-day holding period, a 99% confidence interval and a one-year observation period, together with backtesting, is continuing. - FY2019AdvancedAnnual report
「As of 31 March 2019, our bank's total market risk was ¥24,197 million (¥31,296 million as of 31 March 2018). Our bank also conducts backtesting by comparing calculated VaR with actual profit or loss, and has confirmed that the measurement model used in the calculation appropriately captures market risk.」
Market risk measured using VaR was updated from ¥3,130 million to ¥2,419.7 million, and model validation through backtesting is continuing. - FY2018AdvancedAnnual report
「As of 31 March 2018, our bank's total market risk was ¥31,296 million (¥54,024 million as of 31 March 2017). Our bank also conducts backtesting by comparing calculated VaR with actual profit or loss, and has confirmed that the measurement model used in the calculation appropriately captures market risk.」
Market risk measured using VaR was updated from ¥54,024 million to ¥31,296 million, and model validation through backtesting was also described. - FY2017First statedAnnual report
「Our bank uses quantitative analysis based on VaR to measure the market risk of these financial products. In calculating VaR, we use the variance-covariance method, with a 120-day holding period, a 99% confidence interval and a one-year observation period.」
Describes quantitative market risk analysis using VaR and the variance-covariance method, with a 120-day holding period, a 99% confidence interval and a one-year observation period.