BPCE - 2019 RISK REPORT Pillar III
MARKET RISKS
QUANTITATIVE DISCLOSURES
Quantitative disclosures 8.4
Groupe BPCE VaR
TABLE 69 – BREAKDOWN BY RISK CLASS
Monte Carlo 99% 1-day VaR
Average – 2019
12/31/2019
Min-2019
Max-2019
12/31/2018
in millions of euros
Interest rate risk
6.1 0.8 4.8 1.5 0.8
5.5
2.8 0.2 1.8 0.5 0.1
10.9
3.7 1.1
Credit risk Equity risk
1
6.8
6.6 1.7 0.5
13.8
13.4
Foreign exchange risk
3 1
2.4 0.5
Commodity risk
TOTAL Netting
14
21.1 (6.9) 14.2
(5.5)
Consolidated VaR
8.5
9.5
7.1
16.3
TABLE 70 – CHANGE in millions of euros
in millions of euros
18
8
16
14
12
10
8
6
4
12/31/19
01/31/19
10/31/19
11/30/19
07/31/19
12/30/18
05/31/19
03/31/19
08/31/19
02/28/19
06/30/19
09/30/19
04/30/19
VaR
Consolidated VaR for Groupe BPCE’s trading operations (99% one-day Monte-Carlo VaR) amounted to €8.5 million at December 31, 2019, down €5.7 million over the fiscal year. Group VaR ranged from €7.1 million to €16.3 million over the year.
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RISK REPORT PILLAR III 2019 | GROUPE BPCE
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