For a VaR at a 99% confidence level, zero to four exceptions out of 250 fall in the green zone, five to nine in the middle zone, and ten or more in the red zone1. The Bank of Japan's training material calls the middle zone the "イエロー・ゾーン" (yellow zone), while the notice calls it the "アンバー・ゾーン" (amber zone)2.

Under the notice, the multiplier is 1.50 in the green zone, 1.70 to 1.92 in the amber zone depending on the number of exceptions, and 2.00 in the red zone2. For example, six exceptions fall in the amber zone, with a multiplier of 1.76. The 2016 overview by the Financial Services Agency and the Bank of Japan calls the method the three-zone approach and notes that earlier rules called it the traffic-light approach3.

Notes

  1. Bank of Japan Financial System and Bank Examination Department, Center for Advanced Financial Technology, "Ⅱ．市場リスクの把握と管理" (June 2012), "バーゼル銀行監督委員会の３ゾーン・アプローチ" (The Basel Committee's three-zone approach), page 40 (in Japanese). ↩

  2. Financial Services Agency, "銀行法第十四条の二の規定に基づき、銀行がその保有する資産等に照らし自己資本の充実の状況が適当であるかどうかを判断するための基準" (FSA Notice No. 19 of 2006, consolidated version updated August 24, 2026), Article 275-2, paragraphs 4 and 5 (pages 460–461) (in Japanese). ↩ ↩2

  3. Financial Services Agency and Bank of Japan, "「マーケット・リスクの最低所要自己資本」の概要" (Overview of "Minimum capital requirements for market risk") (April 2016), "４－⑫ ポートフォリオ全体に対するバックテストと資本賦課" (Backtesting and capital charge for the whole portfolio), page 22 (in Japanese). ↩