2012 Registration document and annual financial report - BNP Paribas

RISKS AND CAPITAL ADEQUACYMarket risk5In 2012, total average VaR for BNP Paribas is EUR 132 million (with a minimum of EUR 81 million and a maximum of EUR 228 million), after taking intoaccount the EUR -163 million netting effect between the different types of risks. These amounts break down as follows:➤ TABLE 36: VALUE AT RISK (10 DAYS – 99%): BREAKDOWN BY RISK TYPEIn millions of eurosYear to 31 Dec. 2012Year to31 Dec. 2011Minimum Average Maximum 31 December 2012Average31 December 2011Interest rate risk 59 101 188 76 101 81Credit risk 42 74 120 43 118 121Foreign exchange risk 21 44 95 34 33 44Equity price risk 26 61 164 55 51 58Commodity price risk 10 15 26 16 19 13Netting Effect (77) (163) (365) (128) (178) (148)TOTAL VALUE AT RISK 81 132 228 95 144 169➤ FIGURE 7: CHANGE IN VAR (1 DAY-99%) IN MILLIONS OF EUROS IN 2012807060550403020100January2012February2012March2012April2012May2012June2012July2012August2012September2012October2012November2012December2012GRM continuously tests the accuracy of its internal model through avariety of techniques, including a regular comparison over a long-termhorizon between actual daily losses on capital market transactions and1-day VaR. A 99% confidence level means that in theory the Bank shouldnot incur daily losses in excess of VaR more than two or three days a year.The standard VaR backtesting method makes a comparison of the dailyglobal trading book VaR to the one-day changes of the portfolio’s value.2012 b acktesting demonstrates that there were no days observed duringthe period where any P&L losses were greater than the VaR level.NEW CRD 3 REQUIREMENTSSince 31 December 2011, the European directive CRD 3 (also called“Basle 2.5”), applies and amends the Capital Requirements for marketrisk: Stressed VaR, Incremental Risk Charge (IRC), Comprehensive RiskMeasure (CRM) and trading book securitisation.2012 Registration document and annual financial report - BNP PARIBAS 289