Data related to Market Risk

The following table provides statistical information on key aspects of the implementation of Basel II related to market risk.

Data related to Market Risk

2010

2009

 2008 2007
Credit Institutions:
Own Funds Requirements		 Own Funds Requirements Market Risk % of Total Own Funds Requirements 2,86%

3,78%

 6,27 %  
Credit Institutions:
Distribution by Approach		 % Number * Standardised Approach (SA) 100%

86,21%

 86,21 % 100 %
Value at Risk-Model (VaR) 16%

13,79%

 13,79 % 25 %
Own Funds Requirements % of Own Funds Requirements Market Risk Standardised Approach (SA) 59,46%

60,56%

 42,75 % C
Value at Risk-Model (VaR) 40,54%

39,44%

 57,25 % C
Credit Institutions:
Distribution by Type of Market Risk		 Own Funds Requirements % of Own Funds Requirements Market Risk Traded Debt Instruments 60,22%

52,63%

 52,52 % C
Equity 8,01%

14,12%

 13,21 % C
Foreign Exchange 30,45%

28,70%

 30,66 % C
Commodities 1,31%

4,55%

 3,61 % C
Investment Firms:
Own Funds Requirements		 Own Funds Requirements Market Risk % of Total Own Funds Requirements 8,24%

13,16%

 10,3 %  
Investment Firms:
Distribution by Type of Market Risk		 Own Funds Requirements % of Own Funds Requirements Market Risk Traded Debt Instruments 5,11%

1,64%

 0,18 % N/M
Equity 82,76%

78,12%

 67,53 % N/M
Foreign Exchange 12,13%

20,23%

 32,28 % N/M
Commodities 0%

0%

 0 % N/M
Investment Firms:
Distribution by Approach		 % Number * Standardised Approach (SA) 100%

100%

 100 % N/M
Value at Risk-Model (VaR) 0% 0% 0 % N/M
Own Funds Requirements % of Own Funds Requirement Market Risk Standardised Approach (SA) 100%

100%

 100 % N/M
Value at Risk-Model (VaR) 0%

0%

 0 % N/M

* If an institution uses more than one approach, it will be counted accordingly.

Index:
N/A: not available
C: confidential
N/M: non material

For an overview regarding statistical data of the EU Member States related to market risk see the corresponding table on the EBA homepage.