Morgan Stanley 2010 Annual Report Download - page 108

Table 2: 95% and 99% Average Trading VaR with Four-Year / One-Year Historical Time Series
Table 2: 95% and 99% Average Trading VaR with
Four-Year / One-Year Historical Time Series
95% Average One-Day VaR for
2010
99% Average One-Day VaR for
2010
Primary Market Risk Category
Four-Year
Factor History
One-Year
Factor History
Four-Year
Factor History
One-Year
Factor History
(dollars in millions)
Interest rate and credit spread ................... $129 $ 95 $ 264 $164
Equity price ................................. 28 25 41 37
Foreign exchange rate ......................... 24 24 42 38
Commodity price ............................ 28 22 47 32
Less: Diversification benefit(1) ................. (70) (56) (120) (93)
Total Trading VaR ........................... $139 $110 $ 274 $178
(1) Diversification benefit equals the difference between Total VaR and the sum of the VaRs for the four risk categories. This benefit arises
because the simulated one-day losses for each of the four primary market risk categories occur on different days; similar diversification
benefits also are taken into account within each category.
Distribution of VaR Statistics and Net Revenues for 2010.
As shown in Table 1, the Company’s average 95%/one-day Trading VaR for 2010 was $139 million. The
histogram below presents the distribution of the Company’s daily 95%/one-day Trading VaR for 2010. The most
frequently occurring value was between $137 million and $141 million, while for approximately 81% of trading
days during the year VaR ranged between $129 million and $149 million.
Year Ended December 31, 2010
Daily 95% / One-Day Trading VaR
(dollars in millions)
0
10
20
30
40
50
60
70
Number of Days
<117
117 to 121 121 to 125 125 to 129
129 to 133 133 to 137 137 to 141
141 to 145 145 to 149 149 to 153 153 to 157 157 to 161 161 to 165
>165
102