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PNC » Topics » M ARKET R ISK M ANAGEMENT - T RADING R ISK

This excerpt taken from the PNC 10-Q filed Aug 9, 2006.

MARKET RISK MANAGEMENT – TRADING RISK

Our trading activities primarily include customer-driven trading in fixed income securities, equities, derivatives, and foreign exchange contracts. They also include the underwriting of fixed income and equity securities and proprietary trading.

 

We use value-at-risk (“VaR”) as the primary means to measure and monitor market risk in trading activities. The Risk Committee of the Board establishes an enterprise-wide VaR limit on our trading activities.

The following table shows VaR usage for the second quarter of 2006 by product type:

This excerpt taken from the PNC 10-Q filed May 9, 2006.

MARKET RISK MANAGEMENT – TRADING RISK

Our trading activities include the underwriting of fixed income and equity securities, as well as customer-driven and proprietary trading in fixed income securities, equities, derivatives, and foreign exchange contracts.

We use value-at-risk (“VaR”) as the primary means to measure and monitor market risk in trading activities. The Risk Committee of the Board establishes an enterprise-wide VaR limit on our trading activities.

 

The following table shows VaR usage for the first quarter of 2006 by product type:

EXCERPTS ON THIS PAGE:

10-Q
Aug 9, 2006
10-Q
May 9, 2006

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