Company: SHG
Filing Date: 2025-04-23
Form Type: 20-F
Source: 0001193125-25-089950
Chunk: 184

Company: SHINHAN FINANCIAL GROUP CO LTD
Filing Date: 2025-04-23
Form: 20-F
Chunk 184
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i) historical interest rate VaR analysis and (ii) interest rate gap analysis. The historical interest rate VaR analysis is made through simulation of net asset value based on the interest rate volatility over a fixed past period to produce expected future interest rate scenarios and computes the maximum value at risk at a 99.9% confidence level by analyzing the net present value distribution under each such scenario. As for interest rate gap analysis, Shinhan Card computes the value at risk based on the duration proxies and interest rate shocks for each time interval as recommended under the Basel Accord. The interest rate EaR analysis used by Shinhan Card computes the maximum loss in net interest income for a one-yearperiod following adverse movements in interest rates, based on an interest rate gap analysis using the time intervals and the “middle of time band” as recommended under the Basel Accord. Shinhan Securities measures its interest rate VaR and interest rate EaR based on the IRRBB standardized approach. Interest rate risk is managed by reflecting possible future interest rate environments and customer behavior based on the IRRBB standardized approach. Interest rate VaR is measured by the change in economic value of equity in six types of scenarios – parallel up, parallel down, stiffener, flattener, short-term interest rate-upand short-term interest rate-down. Interest rate EaR is measured by the largest loss amount in two types of scenarios – parallel up and parallel down. Shinhan Securities uses historical interest rate VaR analysis based on its internal model to monitor and manage its interest rate risk. The historical interest rate VaR analysis is made through simulation of net asset value based on the interest rate volatility over the past three years to compute the maximum value at risk at a 99.9% confidence level. Shinhan Securities also measures its level of IRRBB exposure. Shinhan Life Insurance monitors and manages its interest rate risk for its interest-bearing assets and liabilities based on simulations of its asset-liability management system. At the 99.5% confidence level, interest 129

rate-setting liabilities and assets are evaluated under the deterministic interest rate scenario, and interest rate-linked liabilities are evaluated under 1,000 stochastic interest rate scenarios. Interest rate risk for our other subsidiaries is insignificant. Equity Risk Substantially all of Shinhan Bank’s equity risk relates to its portfolio of common stock in Korean companies. As of December 31, 2024, Shinhan Bank held an aggregate amount of W764.9 billion of equity interest in unlisted foreign companies (including W3.65 billion invested in