BPCE - 2018 Risk report / Pillar III
MARKET RISKS Detailed quantitative disclosures
TABLE 73 – VAR, SVAR AND IRC – REGULATORY SCOPE ➡
FY 2018
in millionsof euros
VaR (10 days,99%) Maximum value
27.3 16.8 12.0 23.9 62.2 41.7 27.0 50.5 42.8 18.3 10.9 22.7
Average value Minimum value
Value at end ofperiod
StressedVaR (10 days,99%) Maximum value
Average value Minimum value
Value at end ofperiod
IRC (99.9%) Maximum value Average value Minimum value
Value at end ofperiod
TABLE 74 – BACKTESTING – REGULATORY SCOPE ➡ The following chart shows results of backtesting(ex-post comp arison
of 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, 2018.
in millions of euros
40
8
30
20
10
0
-10
-20
12/29/17
01/29/18
02/28/18
03/31/18
04/30/18
05/31/18
06/30/18
07/31/18
08/31/18
09/30/18
10/31/18
11/30/18
12/31/18
Actual gain/loss
Daily VaR (+/-)
Hypothetical gain/loss
173
Risk Report Pillar III 2018
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