Westpac Group Pillar 3 Report March 2013 - Iguana IR Sites
Westpac Group Pillar 3 Report March 2013 - Iguana IR Sites
Westpac Group Pillar 3 Report March 2013 - Iguana IR Sites
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PILLAR 3 REPORT<br />
MARKET RISK<br />
Back-testing results<br />
The following graph gives a comparison of actual profit and loss to VaR over the 6 months ended 31 <strong>March</strong> <strong>2013</strong>.<br />
Traded Risk: Actual Profit and Loss vs. VaR<br />
01 October 2012 to 31 <strong>March</strong> <strong>2013</strong><br />
Actual Profit<br />
and Loss ($m)<br />
60<br />
50<br />
40<br />
30<br />
20<br />
10<br />
-<br />
(10)<br />
(20)<br />
(30)<br />
(40)<br />
(50)<br />
(60)<br />
- 5 10 15 20 25 30 35 40 45 50 55 60<br />
Daily Value at Risk ($m)<br />
Each point on the graph represents 1 day’s trading profit or loss. This result is placed on the graph relative to the<br />
associated VaR utilisation. The downward sloping line represents the point where a loss is equal to VaR utilisation.<br />
Any point below this line represents a back-test exception (i.e. where the loss is greater than the VaR).<br />
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