BPCE_PILLAR_III_2017
MARKET RISKS Detailed quantitative disclosures
TABLE 69 – VAR, SVAR AND IRC – REGULATORY SCOPE ➡
For the period January 1 to December 31, 2017
in millions of euros VaR (10 days,99%) Maximum value
34.2 18.4 13.3 15.4 86.5 41.7 27.5 33.3 71.2 35.5 22.2 33.4
Average value Minimum value
Period end
StressedVaR (10 days,99%) Maximum value
Average value Minimum value
Period end
IRC (99.9%) Maximum value Average value Minimum value
Period end
TABLE 70 – BACKTESTING – REGULATORY SCOPE ➡
The following chart shows results of backtesting(ex-post comparisonof potential losses, as calculated ex-ante by VaR, with hypotheticaland actual P&L impacts) in the regulatory scope, and can be usedto verify the solidity of theVaR indicator: (in millions of euros) – Period from January 1 to December31, 2017.
8
60 in millions of euros
50
40
30
20
10
0
-10
-20
12/31/16
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 gain/loss
Daily VaR (+/-)
Hypothetical gain/loss
165
Risk Report Pillar III 2017
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