ourexpertise - Crédit Agricole CIB

2010 MANAGEMENT REPORT 3• analytical indicators are used by Risk Management for explanatorypurposes. They primarily mainly include notional indicatorsthat are designed to reveal atypical transactions.Use of credit derivativesWithin the capital markets business, Crédit Agricole CIB runs acredit products business (trading, structuring and selling products)in which credit derivatives are used. Actively traded productsare simple products (credit default swaps) in which creditspreads are the main risk factor. The structured and complex productbusiness is being wound down.All the positions are measured at fair value with deductions formodel and data uncertainties.These activities are managed through a system of market-risk indicatorsaccompanied by limits designed to cover all risk factors.These indicators are:• VaR (historical, 99%, daily, including credit spread and correlationrisk);• credit sensitivity;• sensitivity to correlation;• sensitivity to interest rates.Independent teams belonging to the Risk Management and PermanentControls division are responsible for valuing positions,calculating risk indicators, setting limits and validating models.Equity risksCrédit Agricole CIB’s equity risk results mainly from trading andarbitrage transactions involving equities, carried out as part ofcapital markets activities involving equity derivatives and funds.It also results, to a lesser extent, from CA Cheuvreux and CLSA’sequity brokerage activities.Equity risk arising from trading and arbitrage activities is monitoredusing a 99% « Value at Risk« (VaR) method. This measuresthe greatest risk, based on a number of parameters and scenarios,once the most adverse 1% of occurrences have been eliminated.Average, minimum and maximum VaR fi gures and the VaR fi gureare analysed by risk factor – and equity risk in particular – in the« Market risks« section of the management report (see above).Equities in the banking book totaled €1,370 million (see note 6.4to the consolidated fi nancial statements).Market risk management involves various indicators at differentlevels of aggregation. By defi ning limits, Crédit Agricole CIB aimsto cover all risk factors.SHELF-REGISTRATION DOCUMENT CRÉDIT AGRICOLE CIB 2010 107