406 2019 Universal registration document and annual financial report - BNP PARIBAS
5 risks and CaPital adequaCy Pillar 3
5
Market risk
Distribution of daily income
The following histogram 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 12: DISTRIBUTION OF DAILY TRADING REVENUE
In trading days
In millions of euros
0
10
20
30
40
50
60
70
80
90
More than 9080 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 97% of the trading days in 2019 (versus 91% in 2018).
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 2019, total average VaR (10-day, 99%) for BNP Paribas is EUR 75 million (with a minimum of EUR 52 million and a maximum of EUR 106 million), after taking into account the -EUR 84 million netting effect between the different types of risks. These amounts break down as follows:
➤ TABLE 80: VALUE AT RISK (10-DAY, 99%) [Audited]
In millions of euros
Year to 31 December 2019 Year to 31 December 2018
Minimum(**) Average Maximum(**) Last measure Average Last measure
Interest rate risk 37 59 91 75 55 64
Credit risk 24 35 55 38 35 30
Foreign exchange risk 10 23 49 19 21 29
Equity price risk 21 30 56 29 48 54
Commodity price risk 5 12 23 10 12 18
Netting effect(*) (84) (96) (94) (101)
TOTAL VALUE AT RISK 52 75 106 75 79 94
(*) 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.
(**) For minima and maxima, total VaR cannot be read as the sum of VaR by risk type.
