ING Direct 2011 Annual Report Download - page 237

Jan 10
date
Apr 10 Jul 10 Oct 10 Jan 11 Apr 11 Jul 11 Oct 11 Dec 11
0
5
10
15
20
25
30
35
Consolidated trading VaR ING Commercial Banking 2010–2011
In EUR millions
Value at Risk
Risk management continued
ING Bank
Risk Profile
The following chart shows the development of the overnight VaR under a 99% confidence interval and a 1-day horizon. The overnight
VaR is presented for the ING Commercial Banking trading portfolio for 2010 and 2011. Several banking books are internally governed by
the trading risk process and are therefore excluded from the non-trading risk table and included in the below trading risk graph and table.
During 2011 the overnight VaR for the ING Commercial Banking trading portfolio ranged from EUR 12 million to EUR 29 million.
More details on the VaR of the ING Commercial Banking trading portfolio for 2011 and 2010 are provided in the table below.
Consolidated VaR trading books: ING Commercial Bank
Minimum Maximum Average Year end
2011 2010 2011 2010 2011 2010 2011 2010
Interest rate (1) 918 21 29 15 22 12 20
Equity 1118 97473
Foreign exchange 11492224
Credit spread (1) 6n/a 8n/a 7n/a 6n/a
Diversification (2) –12 –6 –12 –8
Total VaR 12 17 29 30 19 22 15 19
(1) Credit spreads are introduced as a separate risk category as of Q4 2011. Minimum, maximum and average values for the risk category Credit spread
are calculated on Q4 only. The 2010 credit spreads are consolidated in the interest rate risk category.
(2) The total VaR for the columns Minimum and Maximum can not be calculated by taking the sum of the individual components since the observations
for both the individual markets as well as total VaR may occur on different dates.
The VaR figures in the table above relate to all books under trading governance. In general, the level of the trading VaR was lower in the
first half of 2011, continuing the decreasing trend of 2010. Halfway the year, VaR levels increased due to increased market volatility. The
equity VaR increased due to the integration of implied correlation and dividend risk, new risk measures added to the VaR framework. The
average consolidated VaR over 2011 was lower than over 2010 (average VaR 2011: EUR 19 million and average VaR 2010: EUR 22 million).
1 Who we are 2 Report of the Executive Board 3 Corporate governance 4 Consolidated annual accounts 5 Parent company annual accounts 6 Other information 7 Additional information
235ING Group Annual Report 2011