NATIXIS - Universal registration document and financial report 2019

LEGAL AND GENERAL INFORMATION Glossary

Acronym/Term

Definition

Value at Risk (VaR)

A measure of market risk on a bank’s trading book expressed as a monetary value. It allows the entity performing the calculation to appraise the maximum losses liable to be incurred on its trading book. A statistical variable, VaR is always assigned a confidence interval (generally 95% or 99%) and a specific time frame (in practice, one day or 10 days, as the trading positions involved are meant to be unwound within several days). A measurement of the magnitude of an asset’s price fluctuation and thus a measurement of its risk. Volatility corresponds to the standard deviation of the asset’s immediate returns over a given period.

Volatility

VSE

Very small enterprises

WWR

Wrong-way risk

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2019