Goldman Sachs 2003 Annual Report Download - page 59

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Management’s Discussion and Analysis
GOLDMAN SACHS 2003 ANNUAL REPORT 57
The following tables set forth the daily VaR for substantially all of our trading positions:
AVERAGE DAILY VaR(1)
(IN MILLIONS) YEAR ENDED NOVEMBER
RISK CATEGORIES 2003 2002 2001
Interest rates $ 38 $ 34 $ 20
Equity prices 27 22 20
Currency rates 18 16 15
Commodity prices 18 12 9
Diversification effect(2) (43) (38) (25)
Firmwide $ 58 $ 46 $ 39
Our average daily VaR increased to $58 million in 2003
from $46 million in 2002. The increase was due to higher
levels of exposure in all product categories, partially off-
set by reduced measured volatilities, particularly in equity
assets. The increase in average daily VaR to $46 million
in 2002 from $39 million in 2001 was primarily attrib-
utable to an increase in interest rate risk in response to
higher levels of customer activity and increased market
opportunities.
DAILY VaR(1)
(IN MILLIONS) AS OF NOVEMBER YEAR ENDED NOVEMBER 2003
RISK CATEGORIES 2003 2002 HIGH LOW
Interest rates $ 35 $ 29 $64 $25
Equity prices 33 33 38 21
Currency rates 24 938 4
Commodity prices 11 14 27 11
Diversification effect(2) (40) (44)
Firmwide $ 63 $ 41 86 40
(1) During the fourth quarter of 2003, we made certain changes to our model for calculating VaR. The effect of these changes was not material and
accordingly, prior periods have not been adjusted.
(2) Equals the difference between firmwide VaR and the sum of the VaRs for the four risk categories. This effect arises because the four market risk
categories are not perfectly correlated.