BPCE - 2019 RISK REPORT Pillar III

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MARKET RISKS

MARKET RISK MANAGEMENT

for Banque Palatine: daily monitoring of trading book activities • is based on the Risk division’s supervision of 99% 1-day Value at Risk, stress tests and compliance with regulatory limits. All limits (operational indicators, VaR, and stress tests) are monitored daily by each institution’s Risk Management division. Any limit breaches must be reported and, where applicable, are subject to a Management decision concerning the position in question (close, hedge, hold, etc.). These supervisory mechanisms also have operational limits and resilience thresholds that determine the Group’s risk appetite for trading operations.

Banking book risk is supervised and monitored by activity: liquidity reserves, illiquid assets (private equity, non-operational real estate), securitizations and liquid assets excluding liquidity reserves. Liquidity reserves and liquid assets excluding liquidity reserves are monitored monthly, mainly via stress test indicators. Illiquid assets and securitizations are monitored quarterly. The Group’s single treasury and central bank collateral management pool is subject to daily monitoring of risks and economic results for all of its activities, which are mainly related to the banking book.

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RISK REPORT PILLAR III 2019 | GROUPE BPCE

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