Credit risk Profitability
Credit concentration risk
Interviews and requesting reports
New addition
Market risk
Other risks
Interest rate risk in the banking book
Credit Risk Improvement Measures 影响额
The amount affected by the emergence of a large credit risk.
New addition
Stability Improvement Measures さ Outlier Level (Interest rate risk amountさ exceeds 20% of the sum of
Tier1 and Tier2 capital)
More appropriate risk management is prompted.
Evaluation and review by the FSA
Cash Flow Improvement Measures

Consideration for proportionality of small- and medium-sized and regional financial institutions

Consideration for the stability of financial markets
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Today's Presentation
1. 2. 3.
Off-site monitoring conducted by the FSA Examples of macro-prudential analysis Challenges to a greater emphasis on macro-prudential elements in Japan's supervisory framework
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Elements of macro-prudential analysis are (being put) in place
Off-site monitoring system Data and information necessary for macro-prudential analysis are already available
VaR analysis and/or stress testing at the aggregate level has been conducted as needed
Early warning system Impact of fluctuations in securities prices on balance sheets is analysed Implementing Basel II IRB banks: regular conduct of stress testing is a requirement for approval Pillar 2: stress testing is or will be conducted with respect to credit concentration risk, and interest rate risk in the banking book
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However, one might characterise this analysis as…
Essentially a bottom-up approach Mainly micro-prudentially oriented, particularly regarding credit risk (greater emphasis is placed on the circumstances specific to individual banks and/or local economies) Being conducted on a confidential basis
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Macro-prudential analysis by the Bank of Japan

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