Goldman Sachs 2007 Annual Report Download - page 72

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Management’s Discussion and Analysis
The following tables set forth the daily VaR:
Average Daily VaR
(1)
(in millions)
Year Ended November
Risk Categories 2007 2006 2005
Interest rates $ 85 $ 49 $ 37
Equity prices 100 72 34
Currency rates 23 21 17
Commodity prices 26 30 26
Diversification effect
(2)
(96) (71) (44)
Total $138 $101 $ 70
(1) Certain portfolios and individual positions are not included in VaR, where VaR is not the most appropriate measure of risk (e.g., due to transfer restrictions and/or illiquidity).
See “
—
Other Market Risk Measures” below.
(2)
Equals the difference between total 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.
Our average daily VaR increased to $138 million in 2007 from $101 million in 2006. The increase was primarily due to higher
levels of exposure and volatility in interest rates and equity prices.
Our average daily VaR increased to $101 million in 2006 from $70 million in 2005. We increased our level of exposure across
all risk categories, particularly equity prices and interest rates.
Daily VaR
(in millions)
As of November Year Ended November 2007
Risk Categories 2007 2006 High Low
Interest rates $ 105 $ 51 $152 $ 42
Equity prices 82 84 167 59
Currency rates 35 15 41 12
Commodity prices 33 21 51 17
Diversification effect
(1)
(121) (52)
Total $ 134 $119 $181 $104
(1) Equals the difference between total 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.
70 Goldman Sachs 2007 Annual Report