2005 Annual Report Julius Baer Holding Ltd. - GAM Holding AG

Assets by countries/country groups
Notes
31.12.2004 31.12.2005
CHF 1000 % CHF 1000 %
restated
Switzerland 2982823 18.6 10325812 36.0
Other OECD countries 11228097 70.0 15247579 53.2
of which USA 1930982 12.0 1580481 5.5
of which Japan 81373 0.5 71937 0.3
of which EU 8446631 52.7 12424395 43.4
Central and Eastern Europe 40668 0.3 22457 0.1
Rest of Europe 4457 0.0 573086 2.0
Latin America 35236 0.2 54114 0.2
Asia 122788 0.8 191277 0.7
Other countries 1615890 10.1 2234052 7.8
Total 16029959 100.0 28648377 100.0
The breakdown is performed in strict accordance with the principle of domicile of our counterparties. The broadly diversified collateral,
especially in the area of lombard credits, is not taken into account.
4. Market risks (trading book)
The term market risk is defined as the possibility of
sudden losses arising in the Group’s trading book as
a result of unforeseen changes in market prices and
rates (e.g. interest rates, equity prices, foreign
exchange rates, volatilities). Market risk management
involves the identification, measurement, control and
steering of the market risks assumed. The trading
units enter into market risk positions within prescribed
limits. The department Group Risk Management
Market Risk is independent from trading and
carries out a supervisory and guidance function in
market risk management. This department also
reports to the CRO.
Market risk measurement, market risk limitation, backtesting
and stress testing
The Julius Baer Group uses the following types of
measurement and limitation of market risks: value at
risk (VAR) limits, sensitivity or concentration limits
(delta, vega, basis point and nominal limits as well as
scenario analysis) and country limits for trading positions.
The key risk figure, value at risk (VAR), measures
the magnitude of the loss of a portfolio that,
under normal circumstances and for a specific
probability (confidence level), will not be exceeded
during the observed holding period. The VAR of the
Julius Baer Group amounted to CHF 2.0 million on
31 December 2005 (1-day holding period, 95% confidence
level). The maximum VAR recorded in 2005
amounted to CHF 4.6 million; the minimum was CHF
1.6 million. The adequacy of the VAR calculation,
which is based on historical market movements, is
monitored through regular backtesting. This involves
the comparison of the daily gains and losses generated
by the trading book with the VAR values calculated
each day. The chart above shows the daily calculations
of VAR in 2005 (at confidence levels of 95%
and 99%) compared with the actual daily gains and
losses generated by the trading operations of the
Julius Baer Group.
JULIUS BAER GROUP 85