Goldman Sachs 2013 Annual Report Download - page 96

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
Daily Trading VaR ($)
Daily VaR
$ in millions
Fourth Quarter
2013
First Quarter
2013
Third Quarter
2013
Second Quarter
2013
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 2013 or 2012 (i.e., a VaR exception).
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.
The chart below presents the frequency distribution of our
daily trading net revenues for substantially all positions
included in VaR for 2013.
01
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
12
42
65
50
23
34 34
94 Goldman Sachs 2013 Annual Report