BPCE - 2019 RISK REPORT Pillar III
MARKET RISKS
DETAILED QUANTITATIVE DISCLOSURES
TABLE 77 – VAR, SVAR AND IRC – REGULATORY SCOPE
in millions of euros (fiscal year 2019) VAR (10 DAYS, 99%)
Fiscal year 2019
Maximum value Average value Minimum value
37.4 20.7 11.3 27.5 61.6 47.8 37.0 55.8
Value at end of period
STRESSED VAR (10 DAYS, 99%) Maximum value
Average value Minimum value
Value at end of period
IRC (99.9%) Maximum value Average value Minimum value
35.6 15.6
9.0
Value at end of period
10.1
TABLE 78 – BACKTESTING – REGULATORY SCOPE The following chart shows results of backtesting ( ex-post comparison of potential losses, as calculated ex-ante by 1-day 99% VaR, with hypothetical and actual P&L impacts) in the regulatory scope, and can be used to verify the solidity of the VaR indicator: (in millions of euros) – Period from January 1 to December 31, 2019.
in millions of euros 30
8
20
10
0
-10
-20
-30
-40
-50
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
P&L Hypothetical
Daily VaR (+/-)
P&L Actual
177
RISK REPORT PILLAR III 2019 | GROUPE BPCE
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