ING Direct 2015 Annual Report Download - page 204

Contents
Who we are
Report of the
Management
Board
Corporate
Governance
Consolidated
annual accounts
Parent company
annual accounts
Other
information
Additional
information
Notes to the Consolidated annual accounts of ING Bank - continued
The risk figures in the table below only relate to the CAD2 trading books for which the internal model approach is applied.
amounts in millions of euros
Minimum
Maximum
Average
Year end
2015
2014
2015
2014
2015
2014
2015
2014
Interest rate
3
3
8
11
5
5
4
6
Equity
4
2
10
7
6
3
6
6
Foreign exchange
1
1
4
6
2
2
1
2
Credit spread
7
3
10
9
8
5
9
9
Diversification2
–9
–6
–6
–12
Total VaR
8
6
17
15
12
9
14
11
Stressed VaR (10-day, 99%)
41
32
110
111
71
54
78
99
Incremental Risk Charge (1-year, 99.9%)
249
341
482
555
380
462
267
426
1 CVA risk is not included in VaR.
2 The total VaR for the columns Minimum and Maximum cannot 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.
In 2015 the average VaR was higher than the previous year. This increase is notable in different risk types and can be explained both
by increased risk positions as well as increased market volatility. The decrease in average IRC was largely driven by decreased debt
exposures to a number of sovereigns.
Regulatory capital
According to the Capital Requirements Regulation (CRR/CRD IV), regulatory capital for trading portfolios can be calculated using the
standardised approach or an internal model approach. ING Bank received regulatory approval to use an internal model to determine
the regulatory capital for the market risk in all trading books of ING Bank. Market risk capital of CAD2 trading books is calculated
according to the CRR, using internal VaR, Stressed VaR and Incremental Risk Charge models, where diversification is taken into
account. On the other hand, market risk capital of CAD1 books is calculated using Standardised Approach with fixed risk weights. In
2015, capital calculations for all trading books are made under the Internal Model Approach. Mismatches in FX risk from the banking
books are incorporated under the Standardised Approach. ING Bank does not have a Correlation Trading Portfolio or any other
securitisations in the trading book.
Risk Measures for Internal Model Approach Portfolios1
ING Bank Annual Report 2015 202