Company: SHG
Filing Date: 2025-04-23
Form Type: 20-F
Source: 0001193125-25-089950
Chunk: 469

Company: SHINHAN FINANCIAL GROUP CO LTD
Filing Date: 2025-04-23
Form: 20-F
Chunk 469
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 risks of factors affecting value fluctuations regardless of the characteristics of the product. Default risk measures the discrete default risk of the underlying asset that cannot be captured in sensitivity risk. Complete offsetting between purchase and sale exposures of the same borrower is possible. Residual risk is a concept that calculates additional risk because sensitivity risk and default risk are not accurately measured when there is a special profit/loss structure or the underlying asset is special.

<div align='center'>F- 72</div>

SHINHAN FINANCIAL GROUP CO., LTD. AND SUBSIDIARIES

Notes to the Consolidated Financial Statements

(In millions of won)

December 31, 2023 and 2024

| 5. | Financial risk management (continued) |

Trading position data is automatically interfaced into management system, and the system conducts VaR measurement and manages the limit. In addition, Shinhan Bank sets loss limit, sensitivity limit, investment limit, stress limit, etc. for Trading Department and desks, and monitors daily.

Shinhan Securities measures daily market risk by applying historical simulation VaR method of 99.9% confidence level-based VaR. It also measures market risk standard methods to ensure consistent market risk management at the Group level. Historical simulation VaR method does not require assumption on a particular distribution since the method derives scenarios directly from historical market data, and measures non-linear products, such as options, in details. In addition to the VaR limit, Shinhan Securities sets and manages issuance and transaction limit, and stop-loss limit for each department.

An analysis of the Group’s requisite capital for market risk related to trading positions as of December 31, 2023 and 2024, based on the standard guidelines for risk management promulgated by the Financial Supervisory Service, including the minimum, maximum, and average risk amounts during the reporting period, is as follows:

|                                 |     | 2023 |           |     | 2024 |           |
| Sensitivity risk                |     |      |           |     |      |           |
| GIRR (*1)                       |     |    W |   276,940 |     |      |   257,705 |
| CSR-Non-Securitisations(*2)     |     |      |   480,494 |     |      |   565,017 |
| CSR-Securitisations(Non-CTP)    |     |      |    70,685 |     |      |