A4 für Copyshop GB.indd - Bayerische Landesbank

116 Report on the Bank and the Group
VaR in EUR million
60
50
40
30
2. 1. 2004 2. 2. 2004 2. 3. 2004 2. 4. 2004 2. 5. 2004 2. 6. 2004 2. 7. 2004 2. 8. 2004 2. 9. 2004
(Figures for the Bank; VaR with a holding period of one day)
The following table shows the Bank’s VaR for the various different risk factors:
VaR bank-wide for different risk factors
EUR million
VaR
Average
VaR
Minimum
2004 2003
VaR
Maximum
VaR
End of
period
VaR
End of
period
Interest rate risk 36.15 23.67 50.38 29.60 40.94
Share price risk 4.45 0.10 8.47 3.83 7.76
Currency risk 5.58 2.15 15.15 12.47 4.91
Commodity risk 0.31 0.09 0.77 0.68 0.24
Volatility risk 0.35 0.19 0.97 0.89 0.27
(Figures for the Bank; VaR with a holding period of one day)
The “market liquidity shortfall” scenario (simulation of a liquidity shortfall in the mar-
ket) captures the risk at a 20-day holding period. At year-end, the Bank’s VaR for this
scenario stood at EUR 144.5 million. BayernLB’s risk capital of EUR 709 million was suf-
ficient to cover potential losses at all times.
Test scenarios were created for MaH-relevant portfolios, based on situations such as a
rise in interest rates of up to 110 basis points, a 15 percent appreciation / depreciation
of the euro, or a 30 percent fall in share prices. These scenarios are based on the IMF’s
FSAP study conducted in 2003. For all of these scenarios, the Bank’s liable capital was
sufficient to cover all possible losses.