BPCE_PILLAR_III_2017
MARKET RISKS Detailed quantitative disclosures
TABLE 73 – VAR BREAKDOWN BY RISK CLASS AND NETTING EFFECT ➡
The breakdownof Value at Risk by risk approachhighlightsthe monthly contributionof the main risks as well as the effects of netting on VaR. Interest rate risk wasfairly predominantthroughoutthe year compared with equity risk.
20
15
10
5
0
-5
-10
07/31/17
01/31/17
02/28/17
03/31/17
04/28/17
05/31/17
06/30/17
08/31/17
09/29/17
10/30/17
11/30/17
12/29/17
12/30/16
Interest rate Equity Commodity
Foreign exchange Netting Effect Consolidtaed VaR
Credit
8
TABLE 74 – NATIXIS STRESSED VAR ➡
Regulatory stressed VaR averaged € 13.2 million,peaking at € 27.3 million onJanuary 5, 2017 and hitting a low of € 8.7 millionon July 14, 2017.
in millions of euros
30
25
20
15
10
5
0
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
Regulatory SVaR
Regulatory VaR
167
Risk Report Pillar III 2017
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