Société Générale / Risk Report - Pillar III

8

MARKET RISK

INBRIEF

Market risk is the risk of loss of value on financial instruments arising from changes in market parameters, the volatility of these parameters and the correlations between them. These parameters include, but are not limited to, exchange rates, interest rates, the price of securities (equities or bonds), commodities, derivatives and other assets. This section contains key information on the Group’s market risk profile. It details both the internal indicators used to measure market risk and the corresponding regulatory information (RWA, VaR).

|

Distribution of market risk RWA by risk factor Market risk RWA at end 2019: EUR 14.5bn (EUR 23.7bn at end 2018)

Standard

VaR

CRM

9%

8%

27%

9%

IRC

SVaR

Market risk RWA at end 2019 14.5 bn EUR (Amount at end 2018: 23.7 bn EUR) Annual average VaR (1 day, 99%) - 2019 23 M EUR (Annual average VaR 2018: 18 M EUR) Share of RWA calculated via the internal model 90 %

46%

| Market risk

(RWA in EURbn)

23.7

14.8

14.5

2017

2018

2019

163

| SOCIETE GENERALE GROUP | PILLAR 3 - 2020