RISK REPORT Market risks
This internal VaR model used by Natixis was approvedby the ACPR in January 2009. Natixis thus uses VaR to calculatecapital requirements for marketrisks inapproved scopes.
banking book stress tests are calibratedover a longer period (three ● months) inline with the banking book’smanagementperiods: a bond stress test calibrated using a mixed hypothetical-historic - approach which reproduces a stress on European sovereigns (similarto the 2011 crisis), a bond stress test calibrated using a mixed hypothetical-historic - approachwhich reproducesa stress on corporates(similar to the 2008 crisis), an equity stress test calibrated over the 2011 historic period, - applied to equity investments for the purpose of the liquidity reserve. The various stress tests are subject to limits set for each institution, monitored through the regular limit control system, and regularly reported. OVERSIGHT OF WORKOUT PORTFOLIOS The scope of workout portfolio activities has been further reduced. The SONIC portfolio (the securitizationportfolio that was transferred from CFF to BPCE SA group) was once again reduced. The SONIC portfolio totaled € 4.8 billion in outstandingsand € 2.4 billion in RWA at December31, 2017.
STRESS TESTS Stress tests are calibratedaccordingto severityand occurrencelevels, which are consistent with the portfolio managementobjectives: trading book stress tests are calibratedover a 10-day period and a ● 10-year probabilityof occurrence.They are based on: historic scenarios which reproduce changes in market conditions - observed during past crises, their impacts on current positions and P&Ls. They can be used to assess the exposureof the Group’s activities to known scenarios. Eleven historic stress tests have been inplace since 2010, hypothetical scenarios which consist in simulating changes in - market conditions in all activities on the basis of plausible assumptions concerning the dissemination of an initial shock. These shocks are based on scenarios defined according to economic criteria (real estate crisis, economic crisis, etc.), geopolitical considerations (terrorist attacks in Europe, toppling of a regime in the Middle East, etc.) or other factors (bird flu, etc.). The Group has had six theoretical stress tests since 2010;
Registration document 2017
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