Investor Presentaiton
Corporate and Institutional Banking
Market risks 4Q21
-
-
Average 99% 1-day interval VaR (Value at Risk)
Єm
Commodities
Forex
Equities
Interest Rates
□ Credit
Nettings
54
55
42
43 43 43
3
14
13
22
20
19
14
320
FEE
35 35
36
33
37
666
34
31
29 28
8
31 31
28
4
4
11
9
14
10
14
11
14
15
21
26
22 19 18
16 17 17
17
15 16 18
FEN
6
5
30
32
25
23 24
19
21
19 19
17
14
-50
40
+40-40 40 41
40 39 42
+47
44
+42
35 30 28
30
50 51 51
5
46 45 10
35
5
9
15
12
33
33
2222
22
HE
27
22 22
25 24 23
3 4
221
31 32
27
25 26
23
5
20
24
20
5
4 3
2
4
8
7
H
16 16 19
H
14 11 13
-32 26 23 28 30 33
+ 8 2 273
36
19
24
33
8 או 8 ו א
13
13
9
33
15
24
9
26
8
17
8
17
32
35
18 18
30
26
19 21
24
20
23
12 11 9
39
52 53 58
13
Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2
13 13 14 14 14 14 15 15 15
Q3 Q4 Q1
15
Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4
16 16 16 16 17 17 17 17 18 18 18 18
7
2009
1000
229
188
220
172
19 19 19 19 20
Q1 Q2 Q3 Q4
12
20 20 20 21 21 21 21
•
Average VaR stable on the whole this quarter¹
Level reverted to those observed before the spikes in volatility that occurred when the public health crisis
began in 2020; slight increase in commodities
A theoretical back-testing event² this quarter
34 events since 01.01.2007, or a little more than two per year over a long period, including crises, in line with
the internal (1 jour, 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
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