BPCE - Risk Report - Pillar III 2020
8
MARKET RISKS
DETAILED QUANTITATIVE DISCLOSURES
BPCE42 – STRESS TEST RESULTS FOR NATIXIS
100 in millions of euros
100
Hypothetic Stress Tests
Historic Stress Tests
64
48
50
31
24 31
23
25
20
21
8
2
0
-26
-27
-50
-82
-100
Liquidity
Commodities
2008 Lehman
97 Asian crisis
2007 FED Equities
Default by a bank
2002 credit crunch
2011 Sovereign crisis
Emerging market crisis
Increase in interest rate
Influential issuer default
1987 stock market crash
1994 bond market crash
Fall in stock market indices
2008 corporate ABS & MBS crisis
Overall stress test levels reached an average level of €17.5 million on December 31, 2020, versus €16 million on December 31, 2019. The historical stress test replicating the 2011 sovereign debt crisis gave the maximum loss (-€82 million on December 31, 2020).
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RISK REPORT PILLAR III 2020 | GROUPE BPCE
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