Third Quarter 2022 Results
Corporate and Institutional Banking
Market risks - 3Q22
Average 99% 1-day interval VaR (Value at Risk)
Commodities
Forex
Equities
Interest Rates
Credit
Nettings
€m
54
55
42
43 43 43
46 45
5
35 35
33
36
10
36
37
6 34
35
3
29 28
31
6
6
15
5 9
33
31 31
12
8
28
14
4 3
4
4
24 15 13 14 18
21 22 17
31
23 20 21 26 22
19
+22
+FGH
4
9
RH
6
14 20 24
5
27
22 22
25 24 23
27
31 32 33 34 34
27
23
25 26
20
24
17
20
9
33
15
18 19
24
9
26
20
A
3
4
3
2
30 32
16 14
8
25 27
11
19 18
23 24
19 18 16
14 16 17 17 17 15 16 18 21 19 19 17 14 14
11 13 13
+50
40 40 40 41 40 39 42 47 50 51 51 45 44 -42 35 30 28 30 30 28 29 32
N NEF
6
14
16 16 19
10
9
+0000 22
4
5
8
8
거의 30
19 36
7
8
32
35
30
18 18 16
14
15
33
24 20 23
14
2
19 21 23
12 11 9 8 11 11
23 24
26 23 28 30 33
39
39 36 38
+44
52 53
-59
+58
Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3
13 13 13 14 14 14 14 15 15 15 15 16 16 16 16 17 17 17 17 18 18 18 18 19 19 19 19 20 20 20 20 21 21 21 21 22 22 22
8°
•
Average VaR at a low level this quarter despite market conditions¹
At a low level, unchanged vs. 2Q22, due to prudent management
•
No theoretical back-testing event this quarter
37 back-testing events since 01.01.2007, 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
BNP PARIBAS
The bank for a changing world
Third quarter 2022 results | 50View entire presentation