ING Direct 2011 Annual Report Download - page 238

Risk management continued
ING Bank
The risk figures in the table below only relate to the CAD2 trading books for which the internal model approach is applied.
Risk measures for Internal Model Approach Portfolios
2011 Year end
Minimum Maximum Average 2011 2010
Interest rate VaR (1) 822 14 11 18
Equity VaR 118 7 7 3
Foreign exchange VaR 1 4 2 2 4
Credit Spread VaR (1) 6 8 7 6 n/a
Diversification effect (2) –12 –11 –8
Total VaR Internal Model Approach (1-day, 99%) 11 28 18 15 17
Stressed VaR (10-day, 99%)(3) 104 182 139 117 n/a
Incremental Risk Charge (1-year, 99.9%)(3) 363 545 445 368 n/a
(1) Credit spreads are introduced as a separate risk category as of Q4 2011. Minimum, maximum and average values for the risk category Credit spread are
calculated on Q4 only. The 2010 credit spreads are consolidated in the interest rate risk category.
(2) The total VaR for the columns Minimum and Maximum can not be calculated by taking the sum of the individual components since the observations for both
the individual markets as well as total VaR may occur on different dates.
(3) Stressed VaR and Incremental Risk Charge figures are based on Q4 2011
Regulatory Capital
According to the Dutch regulation, regulatory capital for trading portfolios can be calculated using the standardised approach or an
internal model approach. ING Bank received approval from the DNB to use an internal Value-at-Risk (VAR) model to determine the
regulatory capital for the market risk in most trading books of ING Bank. Market risk capital of CAD2 trading books is calculated according
to the internal VaR model, where diversification is taken into account. On the other hand, market risk capital of CAD1 books is calculated
using standardised fixed risk weights. In 2011, capital on all trading books is performed under the Internal Model Approach. Mismatches in
FX risk from the banking books are incorporated under the Standardised Approach. Market risk regulatory capital is calculated under the
new market risk framework Basel 2.5 containing a capital charge for Stressed VaR and Incremental Risk, as approved by DNB.
Regulatory Capital
2011 2010(1)
SVaR VaR Total Total
Interest rate / Credit spread 327 157 484 172
Equity 80 62 142 40
Foreign exchange 15 12 27 15
Incremental Risk Charge 437 n/a
Total Internal Model Approach 1,090 227
Standardised model 34 137
Total 1,124 364
(1) 2010 capital figures do not include Stressed VaR
Sensitivities
The following tables show the largest trading foreign exchange positions and interest rate and credit spread sensitivities.
The credit spread sensitivities are furthermore split in different risk classes and sectors.
236 ING Group Annual Report 2011