2018 Registration document and annual fi nancial report - BNP PARIBAS 403
5RISKS AND CAPITAL ADEQUACY PILLAR 3
5
Market risk
➤ FIGURE 10: COMPARISON BETWEEN VAR (1-DAY, 99%) AND DAILY TRADING REVENUE (EU MR4) [Audited]
In millions of euros Daily actual trading revenues Daily hypothetical trading revenues VaR (1-day, 99%)
January 2018
March 2018
April 2018
June 2018
February 2018
May 2018
July 2018
August 2018
September 2018
October 2018
December 2018
November 2018
-60
-40
-20
0
20
40
60
80
Quarterly change in VaR
➤ FIGURE 11: QUARTERLY CHANGE IN VAR (1-DAY, 99%)
-60 -56
-49 -42 -39
-50 -40 -40 -40 -41 -40 -39 -42
-47 -50 -51 -51 -45 -44 -42
-35 -30 -28 -30 -29
Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4
30 27 20 16 16
19 14
16 17 17 17 15 16 18
21 19 19 17 14 14 11 13 13 14 11
48 46
40
34 32
42
35 35 33 36
29 28
31
37 43 43 43
34 28 31
31
27 22 22
4 5
5
5 3
3
4 3 4 4
4 9 11
8
6 6 6
6 7 5
4
4
4 3
15
18
12
11 12
14
15 13 14 18
14 10
14
19
14 20 24
15 16 17
15 9
7 8
35
30 34
28 24
31
23 20 21
26
22 19 18
23
30 32
25 27
23 24 19 18
16 15
22
22 17
16 15
24
21 22 17 12
11 14 15
17
21 17
20 13
12 12 16 14 11 12
-30 -28 -32
12 10
12
16 16 19 19
16 14
8 6 6
7 25
24 23
27
4 4 3
5
13 17
Q1 Q2 Q3 Q4 12 12 12 12 13 13 13 13 14 14 14 14 15 15 15 15 16 16 16 16 17 17 17 17 18 18 18 18
Commodities
Currencies
Equities
Interest rates
Credit products
Netting
