Goldman Sachs 2009 Annual Report Download - page 73

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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 December2009:
Daily Trading Net Revenues
($ inmillions)
The sensitivity analyses for these equity and debt positions in
the FICC and Equities components of our Trading and Principal
Investments segment and equity, debt (primarily mezzanine
instruments) and real estate positions in the Principal Investments
component of our Trading and Principal Investments segment
are measured by the impact of a decline in the asset values
(including the impact of leverage in the underlying investments
for real estate positions in the Principal Investments component)
of such positions. The fair value of the underlying positions
may be impacted by recent third-party investments or pending
transactions, third-party independent appraisals, transactions in
similar instruments, valuation multiples and public comparables,
and changes in  nancial ratios or cash  ows.
OTHER MARKET RISK MEASURES
Certain portfolios and individual positions are not included
in VaR, where VaR is not the most appropriate measure
of risk (e.g.,due to transfer restrictions and/or illiquidity).
The market risk related to our investment in the ordinary
shares of ICBC, excluding interests held by investment funds
managed by Goldman Sachs, is measured by estimating the
potential reduction in net revenues associated with a 10%
decline in the ICBC ordinary share price. The market risk
related to the remaining positions is measured by estimating
the potential reduction in net revenues associated with a 10%
decline in asset values.
<(100)
0
(100)–(75)
2
(75)–(50)
3
(50)–(25) (25)–0 0–25
18
25–50
Number of Days
50 –75 75 –100 > 100
35
5
Daily Trading Net Revenues
0
40
20
60
80
100
120
140
160
131
29 31
9
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 did not exceed our 95% one-day VaR during 2009. Trading losses incurred
on a single day exceeded our 95% one-day VaR on 13 occasions during 2008.
Goldman Sachs 2009 Annual Report
71
Management’s Discussion and Analysis