2020 Universal registration document and annual financial report - BNP PARIBAS434
5 risks and CaPital adequaCy Pillar 3
5
Market risk
Distribution of daily income
The following histogramme presents the distribution of the actual daily trading revenue of BNP Paribas, including intra-day revenues, fees and commissions. It indicates the numbers of trading days during which the revenue reached each of the levels marked on the x axis, in millions of euros.
➤ FIGURE 13: DISTRIBUTION OF DAILY TRADING REVENUE
In trading days
In millions of euros
0
10
20
30
40
50
60
More than 90
80 to 9070 to 8060 to 7050 to 6040 to 5030 to 4020 to 3010 to 200 to 10-10 to 0-20 to -10-30 to -20Less than -30
Frequency
Trading activities generated an actual positive result for 92% of the trading days in 2020 (versus 97% in 2019).
Evolution of the VaR (10-day, 99%)
The VaR set out below are calculated from an internal model, which uses parameters that comply with the method recommended by the Basel Committee for determining estimated Value at Risk. They correspond to measurements taken into account within the framework of monitoring
market limits. These are based on a ten-day time horizon and a 99% confidence interval, extrapolated from 1-day VaR amounts with the same confidence interval, by multiplying by a factor equal to the square root of ten.
In 2020, total average VaR (10-day, 99%) for BNP Paribas is EUR 142 million (with a minimum of EUR 68 million and a maximum of EUR 226 million), after taking into account the -EUR 155 million netting effect between the different types of risks. These amounts break down as follows:
➤ TABLE 84: VALUE AT RISK (10-DAY, 99%) [Audited]
In millions of euros
Year to 31 Dec. 2020 Year to 31 Dec. 2019
Minimum(*) Average Maximum(*) Last measure Average Last measure
Interest rate risk 49 96 147 90 59 75
Credit risk 34 72 126 67 35 38
Foreign exchange risk 13 39 64 40 23 19
Equity price risk 32 73 164 94 30 29
Commodity price risk 8 17 42 41 12 10
Netting effect(**) (155) (184) (84) (96)
TOTAL VALUE AT RISK 68 142 226 148 75 75
(*) For minima and maxima, total VaR cannot be read as the sum of VaR by risk type. (**) Note that the minimum and maximum figures shown above for the various risk types are computed on a standalone basis (i.e. independently from each
other as well as the total VaR). While the minimum or maximum for each risk type may not necessarily be observed on the same date, minimum/maximum netting effects are not considered relevant.
