Risk
Value-at-risk, liquidity, stress tests, currency and counterparty exposure.
VaR 95% · 1-day
€ 846.159,00
VaR 99% · 1-day
€ 1.244.763,00
VaR 95% · 10-day
€ 2.675.790,00
CVaR 95%
€ 1.146.860,00
Liquidity profile
% of portfolio liquidatable within horizon
Stress test scenarios
| Scenario | Portfolio impact |
|---|---|
| 2008 GFC replay | -21,9% |
| COVID crash (Mar 2020) | -17,6% |
| EUR rates +200bp | -6,0% |
| Crypto winter (-70%) | -0,6% |
| USD/EUR -10% | -2,2% |
Currency exposure (net %)
| Currency | Net | Hedged |
|---|---|---|
| EUR | 75,9% | 0,0% |
| USD | 21,6% | 6,1% |
| CHF | 1,2% | 1,7% |
| GBP | 0,0% | 0,0% |
| Other | 1,3% | 0,0% |
Counterparty exposure
| Counterparty | Exposure |
|---|---|
| Rabobank | € 5.200.000,00 |
| ABN AMRO | € 1.716.995,00 |
| UBS | € 857.660,00 |
| Interactive Brokers | € 21.830.468,00 |
| Kraken Custody | € 594.365,00 |