Barclays 2013 Annual Report Download - page 414

Risk management
Market risk management continued
The charts below show VaR for Barclays’ regulatory portfolios where at least one exception has occurred during 2013.
The black lines indicate losses on the small number of days on which they exceeded the VaR amount.
JanFeb Mar Apr MayJun
2013
Jul Aug Sep OctNov Dec
Equities (£m)
0
DVaR
Backtesting Exception
-30
-20
-10
JanFeb Mar Apr MayJun
2013
Jul Aug Sep OctNov Dec
Foreign Exchange (£m)
DVaR
Backtesting Exception
0
-20
-10
JanFeb Mar Apr MayJun
2013
Jul Aug Sep OctNov Dec
Fixed Income Rates (£m)
DVaR
Backtesting Exception
0
-30
-20
-10
JanFeb Mar Apr MayJun
2013
Jul Aug Sep OctNov Dec
Credit Support Annex Aware Discounting Valuation (£m)
DVaR
Backtesting Exception
0
-30
-20
-10
JanFeb Mar Apr MayJun
2013
Jul Aug Sep OctNov Dec
Commodities (£m)
0
-20
-10
DVaR
Backtesting Exception
JanFeb Mar Apr MayJun
2013
Jul Aug Sep OctNov Dec
Credit Correlation (£m)
0
-10
-5
DVaR
Backtesting Exception
JanFeb Mar Apr MayJun
2013
Jul Aug Sep OctNov Dec
Emerging Markets (excluding credit) (£m)
0
-30
-20
-10
DVaR
Backtesting Exception
Typical drivers of the exceptions shown above are as follow:
 Exceptional market moves, outside the confidence level at which the
model operates, for example, the market volatility caused by the
Federal Reserve tapering announcement.
 Risks which are not captured in VaR (for more information on RNIVs
see page 408).
Exceptions are reported to internal management and regulators on a
regular basis and exceptions are investigated to ensure the model
performs as expected.
Traded Market Risk Control
The metrics that Barclays use to measure market risk are controlled
through the use of appropriate limit framework. Limits are set at the
total Investment Bank portfolio level, risk factor level, for example,
interest rate risk, and at business level, for example, Emerging Markets.
Stress limits and many book limits, such as foreign exchange and
interest rate sensitivity limits, are also used to control risk appetite.
The BFRC ratified firm wide limits are termed A-level limits for total
management VaR, risk factor VaR, primary stress and secondary
stresses. These are then cascaded down by risk managers in order to
meet the firm wide risk appetite.
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412 Barclays PLC Annual Report 2013