content_image/252261.jpg content_image/252262.jpg content_image/252263.jpg
iii. The presence of resecuritized exposures subject to the CRM method, and the breakdown by guarantor or by the risk weight segments of guarantors 

Not applicable 

## C). Securitization exposures for calculating Market Risk as an originator 

Not applicable 

## D). Securitization exposures for calculating Market Risk Asset as an investor 

i. Underlying asset 

<img src='content_image/252261.jpg'>

ii. Exposure balance and capital requirements by risk weight 

<img src='content_image/252262.jpg'>

iii. The total amount of securitization exposures subject to the comprehensive risk calculation Not applicable 

## 8. Market Risk 

Internal Models Approach Value at Risk (VaR) Results 

(Calculation Method) Historical Simulation Method (Assumption) Holding period: 10 business days and a 99% Confidence level 

(Reference) Holding Period: 1 business day Confidence level: 99% 

<img src='content_image/252263.jpg'>

(Note 6) Back-Testing 

Comparing VaR for a one day holding period with daily profit and loss is conducted in order to verify accuracy of VaR model. Excess number of back testing is a number of times that losses are exceeded VaR over a giver holding period. 

