Investor Presentaiton
GROUP
CHANGE IN TRADING VAR* AND STRESSED VAR**
_Quarterly Average of 1-Day, 99% Trading VaR* (in EURm)
30
22
15
15
10
23
18
24
18
13
13
15
23
Trading VaR*
■Credit
Interest Rates
■ Equity
■Forex
■Commodities
■Compensation Effect
17
21
21
21
14
14
24
19
11
7
7
13
16
13
10
12
18
16
15
12
20
17
8
12
3
3
10
10
8
9
9
11
4
3
3
2
U
-38
-16
-26
-18
-21
33
-32
-35
-30
30
-31
Q4 20
Q1 21
Q2 21
Q3 21
Q4 21
Q1 22
Q2 22
Q3 22
Q4 22
Stressed VAR** (1 day 99%, in EUR M)
Minimum
Maximum
Average
Q421
Q1 22
Q2 22
Q3 22
24
23
18
17
Q422
23
64
48
52
47
46
39
32
30
32
34
* Trading VaR: measurement over one year (i.e. 260 scenarios) of the greatest risk obtained after elimination of 1% of the most unfavourable occurrences
** Stressed VaR: Identical approach to VaR (historical simulation with 1-day shocks and a 99% confidence interval), but over a fixed one-year historical window corresponding to a period of significant financial tension instead of a one-year rolling period
SOCIETE
GENERALE
4TH QUARTER AND FULL YEAR 2022 RESULTS 18 FEBRUARY 2023View entire presentation