BPCE - 2019 RISK REPORT Pillar III
8
MARKET RISKS
DETAILED QUANTITATIVE DISCLOSURES
Detailed quantitative disclosures 8.5
The detailed quantitative disclosures on market risks presented in the following tables expand on the Pillar III disclosures contained in the previous section.
Breakdown of market risk-weighted assets by approach
TABLE 76 – RISK-WEIGHTED ASSETS UNDER THE STANDARDIZED APPROACH
12/31/2019
12/31/2018
RWAs
RWAs
in millions of euros
Outright products Interest rate risk (general and specific) Equity risk (general and specific)
2,276
1,685
360
461
Foreign exchange risk
3,187
2,645
Commodity risk
675
553
Options Simplified approach Delta-plus method Scenario approach
-
-
68
207 354 254
216 171
Securitization
TOTAL
6,953
6,159
Detailed disclosures on Natixis market risks
Groupe BPCE’s market risks are mainly borne by Natixis. The quantitative data used by Natixis to measure market risk are provided below.
VAR VaR backtesting is carried out on approved scopes and confirms the overall robustness of the model used. Extreme risks, which are not recognized by VaR, are accounted for using stress tests throughout the Group.
This internal VaR model used by Natixis was approved by the ACPR in January 2009. Natixis thus uses VaR to calculate capital requirements for market risks in approved scopes.
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RISK REPORT PILLAR III 2019 | GROUPE BPCE
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