Annual Report - Caisse des Dépôts et Consignations

Caisse des Dépôts Group
Risk management at CDC IXIS
The Risk Department is responsible for
implementation of the risk policy defined by the
Executive Board of CDC IXIS and the constant and
regular monitoring of all risks to which CDC IXIS
and its subsidiaries are exposed. In this capacity, it
ensures the consistency of the internal control systems
and methods applied throughout CDC IXIS with
regard to market, counterparty and operational risks.
Balance Sheet and Liquidity management
CDC IXIS balance sheet management has three
principal missions: controlling balance-sheet risk,
optimizing financing and managing cash. An Assetliability
Committee, headed by the Chairman of the
Executive Board, is responsible for asset-liability
management issues. This includes approving
proposals made by the Finance Department, which is
in charge of implementing decisions. Asset-liability
management encompasses the management of interest
rate, currency and liquidity risks, as well as the bank’s
capital allocation. It exercises direct responsibility
over the assets and liabilities of CDC IXIS and acts
on a concerted and consolidated basis with regard
to the activities of CDC IXIS subsidiaries.
Counterparty and Credit Risk
As of December 31, 2001, 70% of proprietary
commitments were internally rated no lower than A,
and 17% were rated triple-A.
Growth in international businesses, especially in
financial markets, helped diversify the geographical
spread. While France remains dominant with 52%
of commitments, exposure to the rest of the euro zone
has increased consistently and now stands at 22%.
Exposure to emerging markets remains marginal.
22
Caisse des Dépôts Group 2001
Market Risk
Within CDC IXIS Capital Markets, the Risk and
Results Control unit reports directly to the Chairman
of the Executive Board. Completely independent,
it defines market and counterparty risk measurement
principles in accordance with Group guidelines and
develops the necessary applications using resources
earmarked specifically for this purpose. Market risks
include interest rates, currencies, equities, spreads and
volatility…, which are tracked on an international basis.
Risks are measured daily on the basis of indicators
measuring each activity’s maximum potential losses.
These indicators (which are of a Value at Risk type and
use a Monte Carlo - type methodology) are compared
to the risk limits that must always be respected.
The authorization given to CDC IXIS Capital Markets
to use Scenarisk, an internally developed model
for monitoring market risk, was confirmed in 2001.
For all VaR calculations, market parameters are
modeled based on a 365-day statistical analysis.
This model enables maximum losses over 10 days
to be calculated with a 99% confidence interval.
The basic indicator is a VaR parametric.
For options, the VaR parametric is progressively being
supplemented with a simulation-calculated VaR using
Monte Carlo - type methodology. This allows nonlinear
aspects of the portfolio to be assessed from
different perspectives. Overall, VaR levels were
relatively stable throughout the year and remained
within authorized limits. In 2001, 10-day VaR averaged
€ 144 million on steadily rising returns.
The control of operations at the North American
subsidiary of CDC IXIS Capital Markets has been
totally integrated into the Paris organization,
but specific risk management tools continue to be used.