Division 4 Aggregated portfoliosF1
United Kingdom
Provide the required risk measures, along with the present value, of the following financial aggregated portfolios:
| Aggreg. portfolio | Description | Combination of individual portfolios (individual portfolios as stated by the numbers in section 2 | Base currency | Risk measures requested |
|---|---|---|---|---|
| 57 | ALL-IN no-CTP | 1, 2, 6, 7, 9, 11, 12, 18, 21, 27, 28, 30, 31, 32, 33, 34, 38, 41, 43 | EUR | VaR; sVaR; IRC |
| 58 | EQUITY cumulative | 1, 2, 6, 7, 9 | EUR | VaR and sVaR |
| 59 | IR cumulative | 11, 12, 18, 21 | EUR | VaR and sVaR |
| 60 | FX cumulative | 27, 28, 30, 31, 32 | EUR | VaR and sVaR |
| 61 | Commodity cumulative | 33, 34 | USD | VaR and sVaR |
| 62 | Credit spread cumulative | 38, 41, 43 | EUR | VaR; sVaR; IRC |
| 63 | CTP cumulative EUR | 54, 56 | EUR | VaR; sVaR; APR |