2022 Full Year Results
Corporate and Institutional Banking
Market risks - 4Q22
Average 99% 1-day interval VaR (Value at Risk)
Єm
Commodities
Forex
42
43 43 43
35 35
33
36
37
3
31
6 6 6 34
29 28
31 31
8
28
27
4
24 15
21 22
23 20
NEW
4
6
11
14
4
13
HARNA
9
14
31
26
19 14 16 17
17 17
-40 40 40 41 40 39
50
H
PHP
;
צו
8
וצ
20 24
7 5
HA
15
4
20
12 12
25 27
19
15 16 18 21 19 19 17 14
47 50 51 51 45 44 42
19
18
H
14
11
30
Equities
Interest Rates
Credit
Nettings
54
55
46 45
5
10
35
55
5
9
33
12
22 22
25 24 23
27
31 32 33 34 34 33
27
25 26
13
23
24
13
17 11
20
33
9
15
19
18
9
5
3
4 3
2
ཞ ༄ག" ན་
14
9
28 30 30 -28 29-32 26
|བུ། །
36
४
32
35
18
26
26
33
21 23 23
24
12 10 12 9
9
14
20 23
12 11 9
11 11
8
13
28 30 33
39
33
39 36 38
59 52 53 58
+44
HA
Q2 Q3 Q4 Q1
13 13 13 14
སྐྱ*
Q2 Q3 Q4 Q1
14 14 14 15
Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1
Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4
15 15 15 16 16 16 16 17
17 17 17 18 18 18 18 19 19 19 19 20 20 20 20
Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4
ོས
21 21 21 21 22 22 22 22
•
•
Average VaR at a low level this quarter despite market conditions¹
VaR at a low level, slightly down vs. 3Q22, due to prudent management and a drop in commodities
2 theoretical back-testing events this quarter²
5 theoretical back-testing events this year and only 20 since 01.01.2013, a little more than two per year over a
long period, including crises, in line with the internal (1 day, 99%) VaR calculation model
1. VaR calculated to monitor market limits; 2. With a theoretical loss that did not include the intraday result and commissions earned
BNP PARIBAS
The bank for a changing world
2022 Full Year Results | 63View entire presentation