HSBC 2015 Annual Report Download - page 170

Report of the Directors: Risk (continued)
Market risk
HSBC HOLDINGS PLC
168
Daily VaR (trading portfolios), 99% 1 day ($m)
The Group trading VaR for the year is shown in the table below.
Trading VaR, 99% 1 day29
(Audited)
Foreign
exchange (FX)
Interest
rate Equity
Credit
spread Portfolio
and commodity (IR) (EQ) (CS) diversification30 Total31
$m $m $m $m $m $m
At 31 December 2015 8.0 34.9 21.4 13.9 (24.9) 53.3
Average 14.7 46.0 19.6 15.5 (35.7) 60.1
Maximum 25.4 57.0 29.0 23.3 77.9
Minimum 6.3 32.6 11.9 9.8 47.5
At 31 December 2014 9.8 45.4 7.3 12.5 (14.3) 60.7
Average 16.9 39.5 6.9 13.7 (17.8) 59.2
Maximum 34.2 50.6 15.6 20.9 77.8
Minimum 8.7 26.9 3.2 8.8 38.5
For footnotes, see page 192.
The Risk not in VaR (‘RNIV’) framework captures risks from
exposures in the HSBC trading book which are not captured
well by the VaR model. For 2015, the VaR-based RNIVs are
included within metrics for each asset class whereas in
2014 they were included within portfolio diversification.
Adjusting for the impact of the RNIV reclassification,
portfolio diversification reduced in comparison to 2014.
Back-testing
In 2015, the Group experienced one profit exception, due
primarily to profits from increased volatility in foreign
exchange currencies arising from the sharp fall in the
Chinese stock market and its effect on global markets.
There was no evidence of model errors or control failures.
The graph below shows the daily trading VaR against
hypothetical profit and loss for the Group during 2015. The
back-testing result excludes exceptions due from changes
in fair value adjustments.
Back-testing of trading VaR against hypothetical profit and loss for the Group ($m)
-50
-30
-10
10
30
50
70
90
Jan-15 Feb-15 Apr-15 May-15 Jul-15 Aug-15 Oct-15 Dec-15
Trading VaR
IR trading
CS trading
FX trading
E
Q
trading
Portfolio
diversification
-100
-50
0
50
100
Jan 2015 Feb 2015 Mar 2015 May 2015 Jun 2015 Aug 2015 Sep 2015 Oct 2015 Dec 2015
Back-testing exception
Hypothetical profit and loss VaR (99%)