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4. Risk performance reporting presented below gives a historical perspective of business risk-taking and performance. It includes Business contribution (or net earnings after funding basis),
4. Risk performance reporting presented below gives a historical perspective of business risk-taking and performance. It includes Business contribution (or net earnings after funding basis), risk measures (VaR), return on risk (Sharpe ratio), histogram of realized profit and losses (P&L) vs. estimated VaR and historical revenue, risk, and excession statistics. Based on these results comment on the performance of its trading business Global Bank Market Risk and Performance Report As of Jan 31,1998 3 Months Last 1 6.8 4.0 L Contibution ($MM) 15.6 10.0 Il. Risk Measures (SMM Volatility of Daily Revenues 2.7 1.8 Return on Risk Sharpe ratio mean contribution on volatity Value 0.4 0.3 0.7 V. Histogram for 12-month period ending Jan 31, 1998 Average Daily Revenue 35 #ot Days20 U Daly Revenes $MM VVaR Excession Statistics Avg. Daily Revenue RevenueAvg VaR/1.65 Period (SMM (SMMUpside Breaks Downside Breaks 08/96-1096 0.0 0.0 0.9 1.7 0.8 0.9 0.7 11% 5% 6% 13% 5% 6%
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