Company: SHG
Filing Date: 2025-04-23
Form Type: 20-F
Source: 0001193125-25-089950
Chunk: 173

Company: SHINHAN FINANCIAL GROUP CO LTD
Filing Date: 2025-04-23
Form: 20-F
Chunk 173
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 ) |     |         | (7.63 | ) |     |         | (296.96 | ) |     |                   | (41.55 | ) |
| Total VaR                          |     | W                                       |  57.42 |   |     | W       | 27.27 |   |     | W       |   99.93 |   |     | W                 |  61.45 |   |

Notes:

| (1) | Shinhan Securities’ 10-day VaR is based on a 99.9% confidence level. |

| (2) | Includes both trading and non-trading accounts as Shinhan Securities manage foreign exchange risk on a total position basis. |

| (3) | Volatility implied from the option price using the Black-Scholes or a similar model. |

| (4) | Calculation of portfolio diversification effects is conducted on different days’ scenarios for different risk components. Total VaRs are less than the simple sum of the risk component VaRs due to offsets resulting from portfolio diversification. |

Shinhan Bank generally manages its market risk from the trading activities of its portfolios on an aggregated basis. To control its trading portfolio market risk, Shinhan Bank uses position limits, market risk capital requirement limits, stop loss limits, Greek limits and stressed loss limits. In addition, it establishes separate limits for investment securities. Shinhan Bank maintains risk control and management guidelines for derivative trading based on the regulations and guidelines promulgated by the Financial Services Commission, and measures market risk from trading activities to monitor and control the risk of its operating divisions and teams that perform trading activities. Shinhan Bank manages capital requirement measurements and limits on a daily basis based on automatic interfacing of its trading positions into its market risk measurement system. In addition, Shinhan Bank presets limits on loss, sensitivity, investment and stress for its trading departments and desks and monitors such limits and observance thereof on a daily basis. Basel III The Standardised Approach Capital Requirement.Shinhan Bank uses the standardised approach for market risk in calculating the Basel III capital requirements. The standardised approach capital requirement is the simple sum of three components: the capital requirement under the sensitivities-based method, the default risk capital (DRC) requirement and the residual risk add-on(RRAO). The capital requirement under the sensitivities-based method must be calculated by aggregating three risk measures – delta, vega and curvature. Delta is a risk measure based on sensitivities of an instrument to regulatory delta