CREDICORP LTD | CIK:0001001290 |

As of December 31, 2017 and 2016 the Group’s VaR by type of asset is as follows:

 

		2017			2016
		S/(000)			S/(000)
Equity investments			2,757			9,624
Debt investments			4,504			19,371
Swaps			7,661			13,045
Forwards			2,111			2,470
Options			251			1,160
Diversification effect			(9,884)			(19,748)
Consolidated VaR by type of asset			7,400			25,922

 

As of December 31, 2017 and 2016, the Group’s VaR by risk type is as follows:

 

		2017			2016
		S/(000)			S/(000)
Interest rate risk			7,836			22,553
Price risk			2,759			9,623
Volatility risk			–			319
Diversification effect			(3,195)			(6,573)
Consolidated VaR by type of risk			7,400			25,922