Goldman Sachs 2015 Annual Report Download - page 114

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES
Management’s Discussion and Analysis
The chart below reflects our daily VaR over the last four
quarters.
20
40
60
80
100
120
Daily VaR ($)
Daily VaR
$ in millions
0
Fourth Quarter
2015
First Quarter
2015
Third Quarter
2015
Second Quarter
2015
The chart below presents the frequency distribution of our
daily trading net revenues for substantially all positions
included in VaR for 2015.
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
00
0
20
60
40
80
100
10
2
28
54 56
27
34
41
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 2015 (i.e., a VaR exception). Trading
losses incurred on a single day exceeded our 95% one-day
VaR on one occasion during 2014.
During periods in which we have 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. The daily market-
making revenues used to determine VaR exceptions reflect
the impact of any intraday activity, including bid/offer net
revenues, which are more likely than not to be positive by
their nature.
Sensitivity Measures
Certain portfolios and individual positions are not included
in VaR because VaR is not the most appropriate risk
measure. Other sensitivity measures we use to analyze
market risk are described below.
10% Sensitivity Measures. The table below presents
market risk for inventory positions that are not included in
VaR. The market risk of these positions is determined by
estimating the potential reduction in net revenues of a 10%
decline in the underlying asset value. Equity positions
below relate to private and restricted public equity
securities, including interests in funds that invest in
corporate equities and real estate and interests in hedge
funds, which are included in “Financial instruments owned,
at fair value.” Debt positions include interests in funds that
invest in corporate mezzanine and senior debt instruments,
loans backed by commercial and residential real estate,
corporate bank loans and other corporate debt, including
acquired portfolios of distressed loans. These debt positions
are included in “Financial instruments owned, at fair
value.” See Note 6 to the consolidated financial statements
for further information about cash instruments. These
measures do not reflect diversification benefits across asset
categories or across other market risk measures.
$ in millions
Asset Categories
As of December
2015 2014
Equity $2,157 $2,132
Debt 1,479 1,686
Total $3,636 $3,818
102 Goldman Sachs 2015 Form 10-K