The table below presents the value-at-risk metrics calculated with a 99 % confidence level and a one-day holding period for our trading units.
|
Value-at-Risk of our Trading Units by Risk Type |
||||||||||||||||||||
|
|
Total |
Diversification effect |
Interest rate risk |
Credit spread risk |
Equity price risk |
Foreign exchange risk1 |
Commodity price risk |
|||||||||||||
|
in € m. |
2014 |
2013 |
2014 |
2013 |
2014 |
2013 |
2014 |
2013 |
2014 |
2013 |
2014 |
2013 |
2014 |
2013 |
||||||
|
||||||||||||||||||||
|
Average2 |
53.4 |
53.6 |
(36.0) |
(50.0) |
27.2 |
26.5 |
32.3 |
41.6 |
14.5 |
13.4 |
12.9 |
13.8 |
2.6 |
8.3 |
||||||
|
Maximum2 |
65.6 |
69.0 |
(61.9) |
(62.1) |
42.8 |
36.6 |
38.9 |
48.0 |
21.8 |
23.4 |
20.8 |
27.8 |
10.2 |
12.8 |
||||||
|
Minimum2 |
40.3 |
43.0 |
(24.4) |
(38.5) |
17.6 |
18.7 |
27.8 |
34.9 |
9.9 |
8.8 |
7.2 |
5.8 |
0.7 |
5.5 |
||||||
|
Period-end3 |
53.1 |
47.9 |
(32.7) |
(57.7) |
18.9 |
27.2 |
30.0 |
37.9 |
21.8 |
20.2 |
14.2 |
12.4 |
0.9 |
7.8 |
||||||
The average value-at-risk for the first nine months of 2014 decreased slightly by € 0.2 million to € 53.4 million compared with the average for the full year 2013. Credit spread risk reduced over the period due to a lower level of name specific risk and commodities price risk reduced as the wind down of the business continued. This was offset by smaller increases in interest rate risk and equity price risk and a reduction in the diversification benefit across risk types following changes in portfolio composition.
During the first nine months of 2014 our trading units achieved a positive actual income for 98 % of the trading days compared with 94 % in the full year 2013.