3992019 Universal registration document and annual financial report - BNP PARIBAS
5risks and CaPital adequaCy Pillar 3
5
Market risk
➤ TABLE 76: MARKET RISK UNDER THE INTERNAL MODEL APPROACH (EU MR2-A)
In millions of euros
31 December 2019 31 December 2018
RWAs Capital
requirements RWAs Capital
requirements
1 VaR(*) (higher of values 1.a and 1.b) 4,644 371 5,488 439
1.a Previous day s VaR 100 124
1.b Average of the daily VaR on each of the preceding sixty business days x multiplication factor 371 439
2 SVaR(*) (higher of values 2.a and 2.b) 9,999 800 9,323 746
2.a Latest SVaR 233 212
2.b Average of the SVaR during the preceding sixty business days x multiplication factor 800 746
3 IRC(*)(**) (higher of values 3.a and 3.b) 2,384 191 2,436 195
3.a Most recent IRC value 191 177
3.b Average of the IRC number over the preceding twelve weeks 165 195
4 CRM(***) (higher of values 4.a, 4.b and 4.c) 494 40 479 38
4.a Most recent risk number for the correlation trading portfolio 35 35
4.b Average of the risk number for the correlation trading portfolio over the preceding twelve weeks 35 38
4.c 8% of the own funds requirement in the standardised approach on the most recent risk number for the correlation trading portfolio 40 30
6 TOTAL 17,521 1,402 17,726 1,418
(*) VaR, SVaR and IRC values include all the components taken into account in the calculation of risk-weighted assets. (**) Incremental Risk Charge. (***) Comprehensive Risk Measure.
The market risk calculated using the standardised approach covers the market risk of some entities of the Group that are not covered by internal models. The standardised approach is used to calculate foreign exchange risk for the banking book (See section 5.7 Market risk related to banking activities).
➤ TABLE 77: MARKET RISK UNDER THE STANDARDISED APPROACH (EU MR1)
In millions of euros
31 December 2019 31 December 2018
RWAs Capital
requirements RWAs Capital
requirements
Outright products
1 Interest rate risk (general and specific) 308 25 260 21
2 Equity risk (general and specific) 0 0 - -
3 Foreign exchange risk 968 77 1,513 121
Options
7 Scenario approach 2 0 7 1
8 Securitisation (specific risk) 498 40 442 35
9 TOTAL 1,776 142 2,222 178
