Goldman Sachs 2002 Annual Report Download - page 51

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Managem ent’s D iscussion and A nalysis
GO L D M A N SA CH S 2002 A N N UAL R EPO RT 49
The following tables set forth the daily VaR for substantially all of our trading positions:
AVERAGE DAILY VaR
(IN MILLIONS) YEAR ENDED NOVEMBER
RISK CATEGORIES 2002 2001 2000
Interest rates $ 34 $ 20 $ 13
Equity prices 22 20 21
Currency rates 16 15 6
Commodity prices 12 98
Diversification effect (1) (38) (25) (20)
Firmwide $ 46 $ 39 $ 28
Our average daily VaR increased to $46 million in 2002
from $39 million in 2001, primarily due to an increase in
interest rate risk in response to higher levels of customer
activity and increased market opportunities. The increase
in average daily VaR to $39 million in 2001 from $28
million in 2000 was attributable to increased exposures
in interest rates and currencies and higher measured
interest rate volatility, particularly during the second half
of the year.
DAILY VaR
(IN MILLIONS) AS OF NOVEMBER YEAR ENDED NOVEMBER 2002
RISK CATEGORIES 2002 2001 HIGH LOW
Interest rates $ 29 $ 39 $68 $19
Equity prices 33 21 49 15
Currency rates 913 35 5
Commodity prices 14 12 17 8
Diversification effect (1) (44) (33)
Firmwide $ 41 $ 52 77 32
(1) Equals the difference between firmwide daily VaR and the sum of the daily VaRs for the four risk categories. This effect arises because the four
market risk categories are not perfectly correlated.