Goldman Sachs 2012 Annual Report Download - page 94

Management’s Discussion and Analysis
The chart below reflects the VaR over the last four quarters.
0
20
40
60
80
100
120
140
160
180
200
Daily Trading VaR ($)
Daily VaR
$ in millions
Fourth Quarter
2012
First Quarter
2012
Third Quarter
2012
Second Quarter
2012
The chart below presents the frequency distribution of our
daily trading net revenues for substantially all inventory
positions included in VaR for the year ended
December 2012.
00
0
20
60
40
80
100
Number of Days
Daily Trading Net Revenues ($)
Daily Trading Net Revenues
$ in millions
<(100) (100)-(75) (75)-(50) (50)-(25) (25)-0 0-25 25-50 50-75 75-100 >100
22
12
27
41
56
75
37
Daily trading net revenues are compared with VaR
calculated as of the end of the prior business day. Trading
losses incurred on a single day did not exceed our 95% one-
day VaR during 2012. Trading losses incurred on a single
day exceeded our 95% one-day VaR (i.e., a VaR exception)
on three occasions during 2011.
During periods in which the firm has significantly more
positive net revenue days than net revenue loss days, we
expect to have fewer VaR exceptions because, under
normal conditions, our business model generally produces
positive net revenues. In periods in which our franchise
revenues are adversely affected, we generally have more loss
days, resulting in more VaR exceptions. In addition, VaR
backtesting is performed against total daily market-making
revenues, including bid/offer net revenues, which are more
likely than not to be positive by their nature.
92 Goldman Sachs 2012 Annual Report