NATIXIS_PILLAR_III_2017_EN
MARKET RISK Detailed quantitative information
TABLE 52 (MR4): BACKTESTING ON THE REGULATORY SCOPE R
The following chart shows results of backtesting (ex-post comparison of potential losses, as calculated ex-ante by VaR, with hypothetical and actual P&L impacts) on the regulatory scope, and can be used to verify the solidity of the VaR indicator: (in millions of euros) – 2017.
Millions of euros
60
50
40
30
20
10
0
-10
-20
30/12/16
31/01/17
28/02/17
31/03/17
30/04/17
31/05/17
30/06/17
31/07/17
31/08/17
30/09/17
31/10/17
30/11/17
31/12/17
Actual gain/losses
Daily VaR (+/-)
Potential gain/losses
TABLE 53: (EU MR2-A): EXPOSURE TO MARKET RISK USING THE INTERNAL MODELS APPROACH R
RWA
OFR
(in millions of euros)
8
1 a
Value at risk (Maximum of both values a and b)
1,159
93 16
Previous day’s VaR (Article 365 (1))
198
Average of the daily VaR (Article 365 (1)) of the CRR on each of the preceding 60 business days x multiplication factor (in line with Article 366)
b 2 a
1,159 2,448
93
Stressed VaR (SVaR)
196
Latest SVaR (Article 365 (2))
430
34
b Average of the daily SVaR (Article 365 (2)) of the CRR during the preceding 60 business days x multiplication factor (Article 366)
2,448
196
3
Additional default and migration risk
622
50
a Most recent IRC value (incremental default and migration risks calculated in accordance with Section 3 of Articles 370/371)
591 622
47 50
b 4 a
Average of the IRC number over the preceding 12 weeks Additional default risk on the correlation portfolio
Most recent risk number for the correlation trading portfolio (Article 377)
b Average of the risk number for the correlation trading portfolio over the preceding 12 weeks C 8% of the own funds requirement in the standardized approach on the most recent risk number for the correlation trading portfolio (Article 338 (4)) 5 TOTAL AT 12.31.2017
4,229 5,437
338 435
TOTAL AT 12.31.2016
105
NATIXIS Risk report Pillar III 2017
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