NATIXIS_REGISTRATION_DOCUMENT_2017
RISKS AND CAPITAL ADEQUACY Market risks
Natixis backtesting for regulatory scope The followingchart showsresultsof backtesting(ex-postcomparisonof potentiallosses,as calculatedex-anteby VaR, with actual P&L impacts)on the regulatoryscope,and can be used to verify the reliabilityof the VaR indicator: No backtestingexceptionswere observedfor the scope.
Millions of euros
60
3
50
40
30
20
10
0
-10
-20
12.30.16
01.31.17
02.28.17
03.31.17
04.30.17
05.31.17
06.30.17
07.31.17
08.31.17
09.30.17
10.31.17
11.30.17
12.31.17
Actual P&L BT
VaR 1 Day
Hypothetical P&L
STRESSED VAR ■
The Stressed Regulatory VaR level averaged €13.2 million. It peaked at €27.3 million on January 5, 2017, and bottomed out at €8.7 millionon July 14,2017. Changein regulatoryStressedVaR and VaR.
Millions of euros
30
25
20
15
10
5
0
12.31.16
01.30.17
02.28.17
03.31.17
04.30.17
05.31.17
06.30.17
07.31.17
08.31.17
09.30.17
10.31.17
11.30.17
12.31.17
Regulatory sVaR Regulatory VaR
145
Natixis Registration Document 2017
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