Annual Accounts and Report as at 30 June 2011 Draft - Mediobanca

Table 1 - Value at risk and expected shortfall of asset structure12 mths toRisk factors 12 mths to 30/6/1130/6/10(€’000) 30/6 Min. Max. Avg. Avg.Interest rates ................... 30,619 12,244 42,726 18,926 18,644- of which: specific risk 19,861 7,695 28,278 14,335 9,348Share prices ................... 21,566 12,392 37,716 22,176 20,585Exchange rates ................. 6,730 909 7,427 3,366 1,999Inflation ....................... 280 200 979 436 1,566Volatility ....................... 3,987 1,218 4,794 2,528 1,490Diversification effect *........... (14,217) (4,533) (21,057) (12,306) (9,479)TOTAL ......................... 48,685 21,606 71,126 34,691 34,805Expected shortfall............. 86,166 65,472 88,402 78,270 65,098* Due to mismatches between risk factors.The average expected shortfall 3 reading was up 20%, from €65.1m to€78.3m, due chiefly to last year’s data being affected by the sharp rises involatility, which were not reflected accurately in the calculation method based onhistorical simulation.Analysis of VaR for the trading book (cf. Table 2 below) overall reflects thetrends witnessed in the various different risk factors at the aggregate level. Theincrease of around 10% in the average data, from €18.1m to €20.1m, compared tothe stability of the aggregate data, is exclusively due to the contribution of thearbitrage positions on equities, the overall effect of which is mitigated by thepresence of AFS equity positions.Of the other risk factors, there was an increase in the exchange rates andvolatility components and a reduction in inflation, and although the interest ratecurves’ contribution reflect higher specific risk (up from €6.5m to €10.7m), overallit was down from €17m to €15.6m. The highs and lows for VaR readings were alsoless pronounced: the high for the period was just under €40m (compared with over€90m last year), and the low over €11m (€4.7m). Conversely, there was asubstantial increase in the expected shortfall.3Average of losses recorded in 1% of the most unfavourable scenarios.– 181