NATIXIS_PILLAR_III_2017_EN
8 MARKET RISK
Detailed quantitative information
Detailed quantitative information 8.4
TABLE 50: (EU MR1): MARKET RISK UNDER THE STANDARDIZED APPROACH R
Nature of risk (in millions of euros)
RWA Capital requirements
SA
4,998 1,347
400 108
Interest rate risk (general and specific) Equity risk (general and specific)
417
33
Foreign exchange risk
2,527
202
Commodity risk
707 324
57 26
Options
Simplified approach Delta-plus method Scenario approach
255
20
69
6
Securitization (specific risk)
169
14
TOTAL AT 12.31.2017 TOTAL AT 12.31.2016
5,491 5,646
439 452
TABLE 51 (MR3): VAR, STRESSED VAR AND IRC ON THE REGULATORY SCOPE R
(in millions of euros) – 2017 VaR (10 day 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
Stressed VaR (10 day 99%) Maximum value
Average value Minimum value
Period end
Incremental Risk Charge (99.9%) Maximum value
Average value Minimum value
Period end
104
NATIXIS Risk report Pillar III 2017
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