Goldman Sachs 2007 Annual Report Download - page 73

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Management’s Discussion and Analysis
Our daily VaR increased to $134 million as of November 2007 from $119 million as of November 2006. The increase primarily
reflected higher levels of exposure to interest rates, currency rates and commodity prices, as well as increased levels of volatility
in interest rates, partially offset by the benefit of increased diversification effects among different risk categories.
The following chart presents our daily VaR during 2007:
Daily VaR
($ in millions)
0
First Quarter
2007
Second Quarter
2007
Third Quarter
2007
Fourth Quarter
2007
20
40
60
80
100
120
140
160
180
200
Daily Trading VaR
Trading Net Revenues Distribution
The following chart sets forth the frequency distribution of our daily trading net revenues for substantially all inventory positions
included in VaR for the year ended November 2007:
Daily Trading Net Revenues
($ in millions)
0
<(100)
15
(100)–(75)
4
(75)–(50)
5
(50)–(25)
12
(25)–0
16
0–25
25
25–50
30
50–75
36
75–100
33
>100
10
20
30
40
50
60
70
80
90
100
Number of Days
88
Daily Trading Net Revenues
As part of our overall risk control process, 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 exceeded our 95% one-day VaR on ten occasions during 2007.
71Goldman Sachs 2007 Annual Report