NATIXIS - 2018 Registration document and annual financial report
3 RISK FACTORS, RISK MANAGEMENT AND PILLAR III Risk management
Stress test results for the Natixis scope (Data certified by the Statutory Auditors in accordance with IFRS 7) Overall stress test levels reached a negative average level of -€13 million at December 31, 2018, versus +€55 million at December 29, 2017. The historical stress test replicating the sovereign debt crisis in 2011 gave the maximum loss (-€82 million at December 31, 2018).
OVERALL STRESS TESTS AT DECEMBER 31, 2018 ■
Millions of euros
100 120
20 40 60 80
-100 -80 -60 -40 -20 0
Liquidity
2009 Rally
1998 LTCM
Fall in stock market indices Increase in Interest rate
Commodities
2008 Lehman
1990 Gulf War
2008 Corporates
Default by a bank
2002 Credit crach
2007 FED Equities
1997 Asiatic Crisis
2011 Sovereign crisis
September 11th 2001
Emerging market crisis
Influential Issuer default
1994 Bond Market Crash
1987 Stock market crach
Hypothetical Stress-Tests
Historical Stress-Tests
OPERATIONAL RISKS 3.2.6
The operational risk management framework identifies, measures, monitors and controls the level of operational risks for all the Company’s business lines and support functions in France and abroad. Organization 3.2.6.2 The function in charge of monitoring operational risk ensuring the monitoring and management of risks arising from failures attributable to operating procedures, employees and internal systems or arising from outside events. Its duties as described in the operational risk policies and procedures validated by the Natixis Operational Risk Committee include: recording incidents via a network of Operational Risk Officers a across all business lines and support functions; analyzing serious incidents using an escalation process; a mapping potential risks, both qualitatively and quantitatively, a based on a risk self-assessment and audits carried out by the business lines; links with other control functions; a establishing key risk indicators and environmental variables of a a predictive nature.
Targets and policy 3.2.6.1 As part of the definition of its risk appetite, and in accordance with the French Ministerial Order of November 3, 2014, Natixis defined its operational risk tolerance policy with a view to limiting losses related to operational risks and regularly reviewing actions to reduce risks. The policy sets out the governance established, the quantitative and qualitative management framework, and the monitoring performed thus far. It defines the operational risk management criteria, including: quantitative indicators: one historical indicator measuring the a cost of risk, one forward indicator measuring the risk exposure, one individual indicator identifying the occurrence of major incidents to be reported to the regulator (Article 98), a specific individual indicator raising the alert on internal fraud events, and an operational risk management indicator measuring the progress of corrective actions; a qualitative indicator measuring the compliance with the a governance of the framework; specific indicators monitoring Information and Communication a Technology (ICT) risk, including cyber risk.
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Natixis Registration Document 2018
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