Index IndexConstraints ConstraintsDPM Map DPM Map

s2md_tS.26.09.01.02 - Market and credit risk and sensitivities - mVaR and VaR percentiles - including LAC TP but excluding LAC DT - each as marginal shock in the designated risk

S.26.09.01.02
mVaR 99.50%mVaR 99.50% w/o transitional on TPmVaR 99.50% w/o transitional on IRmVaR 99.50% w/o VA and w/o other transitionalsmVaR 99.50% w/o MA and w/o all the othersMarginal distribution
MeanStandard deviationmVaR 0,001mVaR 0,005mVaR 0,01mVaR 0,05mVaR 0,1mVaR 0,2mVaR 0,25mVaR 0,3mVaR 0,4mVaR 0,5mVaR 0,6mVaR 0,7mVaR 0,75mVaR 0,8mVaR 0,9mVaR 0,975mVaR 0,98mVaR 0,985mVaR 0,99mVaR 0,995mVaR 0,997mVaR 0,999
C0020C0030C0040C0050C0060C0070C0080C0090C0100C0110C0120C0130C0140C0150C0160C0170C0180C0190C0200C0210C0220C0230C0240C0250C0260C0270C0280C0290C0300
Market and credit risk sum (level 2 components)R0010
Market and credit risk diversifiedR0020
Market and credit risk diversificationR0030
Standalone market risk
Interest rate risk sumR0040
of which: Interest rate risk diversifiedR0050
of which: Interest rate riskR0060
of which: Interest rate volatility riskR0070
Inflation riskR0080
Equity risk sumR0090
of which: Equity risk diversifiedR0100
of which: Equity riskR0110
of which: Equity volatility riskR0120
Property riskR0130
Currency riskR0140
Credit risk sumR0150
of which: Credit risk diversifiedR0160
of which: Credit event risk ('migration and default')R0170
of which: Credit Spread riskR0180
Spread risk 'Government and central banks'R0190
Spread risk otherR0200

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