BPCE_PILLAR_III_2017
MARKET RISKS Quantitative disclosures
Quantitative disclosures 8.4
Groupe BPCE VaR
TABLE 61 – BREAKDOWN BY RISK CLASS ➡
Monte Carlo 99% 1-day VaR
12/31/2017
2017 average
2016 min
2017 max
12/31/2016
in millions of euros Interestrate risk
2.8 2.1 3.5 1.3 0.4
3.8 2.9 5.3 2.0 0.5
0.0 0.0 0.0 0.8 0.0
6.5 5.1 9.3 8.6 5.0
4.9 2.5 7.3
Credit risk Equity risk
Foreign exchange risk
2
Commodity risk
0.7
TOTAL Netting
10.1 (4.8)
17.4 (7.6)
ConsolidatedVaR
5.3
7.7
5.3
11.7
9.7
TABLE 62 – CHANGE IN MILLIONS OF EUROS ➡
in millions of euros
10 11 12
8
2 3 4 5 6 7 8 9
03/31/17
09/30/17
11/30/17
01/31/17
12/31/16
02/28/17
04/30/17
06/30/17
08/31/17
10/31/17
12/31/17
05/31/17
07/31/17
€ 5.3 million at December 31, 2017, down
ConsolidatedVaR for Groupe BPCE’s trading operations(99% one-dayMonte-CarloVaR) amountedto
€ 4.4 million over the fiscal year. Group VaR ranged from € 5.3 million to € 11.7
million overthe year.
161
Risk Report Pillar III 2017
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