BPCE_PILLAR_III_2017

8

MARKET RISKS

MARKET RISK POLICY 8.1

156

QUANTITATIVE DISCLOSURES 8.4

161

Groupe BPCE VaR Stress test results

161 162 163

MARKET RISK MANAGEMENT 8.2

157

Risk-weighted assets and capital requirements

Organization

157 157

Risk monitoring

DETAILED QUANTITATIVE DISCLOSURES 8.5 164 Breakdown of market risk-weighted assets by approach 164 Detailed disclosures on Natixis market risks 164

MARKET RISK MEASUREMENT METHODS 8.3 159 Sensitivities 159 Value-at-Risk (VaR) 159 Stress tests 160 Oversight of workout portfolios 160

155

Risk Report Pillar III 2017