Quantitative Management of Market Risk
First written in FY2016. . Latest entry: FY2026.
The whole theme swung hardest in 2022: 9 of 14 companies on the "Worse" side.
0 other companies' latest entry also says "Other".
- FY2026Full-year VaR figures and measurement methodology updatedAnnual report
「For market risk associated with financial instruments held by the Group’s domestic consolidated banking subsidiary, the VaR measurement methodology was changed from April 2025 to historical simulation, based on a 120-day holding period, a 3-year observation period, and a 99% confidence interval. As of 28 February 2026, the consolidated fiscal year-end, the amount was ¥51,712 million (VaR as of 28 February 2025, measured using the former Monte Carlo simulation methodology, was ¥33,266 million).」
The VaR measurement methodology was changed to historical simulation, and FY2026 market risk VaR was disclosed as ¥51,712 million. - FY2025Full-year VaR figures updatedAnnual report
「As of 28 February 2025, the consolidated fiscal year-end, the amount was ¥33,266 million (¥22,929 million as of 29 February 2024).」
Market risk VaR was updated from the previous year’s ¥22,929 million to ¥33,266 million. - FY2024VaR figures updatedAnnual report
「As of 29 February 2024, the consolidated fiscal year-end, the amount was ¥22,929 million (¥17,698 million as of 28 February 2023).」
Market risk VaR was updated from the previous year’s ¥17,698 million to ¥22,929 million. The measurement conditions were a 120-day holding period, a 3-year observation period, and a 99% confidence interval. - FY2022VaR figures and measurement conditions updatedAnnual report
「As of 28 February 2022, the consolidated fiscal year-end, the amount was ¥15,294 million (¥14,499 million as of 28 February 2021).」
Market risk VaR was updated from ¥14,499 million to ¥15,294 million. The measurement conditions were a 120-day holding period, a 3-year observation period, and a 99% confidence interval. - FY2020VaR figures and measurement conditions updatedAnnual report
「Market risk associated with financial instruments held by the Group’s domestic consolidated banking subsidiary is measured using VaR based on Monte Carlo simulation, a 120-day holding period, a 3-year observation period, and a 99% confidence interval. As of 29 February 2020, the consolidated fiscal year-end, the amount was ¥5,952 million (¥10,656 million as of 31 March 2019).」
VaR was updated from ¥10,656 million to ¥5,952 million, and the measurement conditions of a 120-day holding period and 3-year observation period were disclosed. - FY2019VaR measurement methodology changed and full-year figures updatedAnnual report
「From the current consolidated fiscal year, the VaR measurement methodology has been standardized to Monte Carlo simulation, and the holding period and observation period, among other key assumptions, have been reviewed. VaR as of 31 March 2019 was ¥10,656 million (under the former measurement methodology, the figures as of 31 March 2018 were ¥2,019 million for interest rate risk and ¥27,085 million for securities price fluctuation risk).」
The VaR measurement methodology was standardized to Monte Carlo simulation, the holding and observation periods were reviewed, and ¥10,656 million was disclosed. - FY2018Full-year VaR figures updatedAnnual report
「VaR for interest rate risk associated with financial instruments held by the Group’s major domestic consolidated subsidiaries is measured using the variance-covariance method, based on a 240-day holding period, a 1-year observation period, and a 99% confidence interval. As of 31 March 2018, the consolidated fiscal year-end, the amount was ¥2,019 million (¥4,655 million as of 31 March 2017).」
Interest rate risk VaR was updated to ¥2,019 million and securities price fluctuation risk VaR to ¥27,085 million. Both decreased from the previous year’s ¥4,655 million and ¥38,743 million, respectively. - FY2017Full-year VaR figures updatedAnnual report
「As of 31 March 2017, the consolidated fiscal year-end, the amount was ¥4,655 million (¥4,336 million as of 31 March 2016). VaR for the risk of fluctuations in securities prices other than interest rates is measured using Monte Carlo simulation, based on a 3-month holding period, a 5-year observation period, and a 99% confidence interval. As of 31 March 2017, the consolidated fiscal year-end, the amount was ¥38,743 million (¥37,210 million as of 31 March 2016).」
Interest rate risk VaR was updated to ¥4,655 million, and securities price fluctuation risk VaR to ¥38,743 million. - FY2016First statedAnnual report
「As of 31 March 2016, the consolidated fiscal year-end, the amount was ¥4,336 million (¥1,037 million as of 31 March 2015). VaR for the risk of fluctuations in securities prices other than interest rates is measured using Monte Carlo simulation, based on a 3-month holding period, a 5-year observation period, and a 99% confidence interval. As of 31 March 2016, the consolidated fiscal year-end, the amount was ¥37,210 million (¥41,782 million as of 31 March 2015).」
Interest rate risk and securities price fluctuation risk are being quantitatively managed using VaR.