Company: BBD
Filing Date: 2025-03-31
Form Type: 20-F
Source: 0001292814-25-001244
Chunk: 317

Company: BANK BRADESCO
Filing Date: 2025-03-31
Form: 20-F
Item: Item 11
Chunk 317
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 portfolio, the historic
simulation models and Delta-Gamma-Vega are applied, whichever is the most conservative of the two, whereby this risk of options is added
to the VaR of the portfolio.

For the calculation of
volatilities, correlations, and historic returns, a minimum window of 252 business days is adopted. The methodology applied and the existing
statistical models are assessed on a permanent basis using backtesting techniques, which compare the VaR with holding periods of one day
and hypothetical results, obtained with the same positions used in the VaR calculation, and effectively considering also the transactions
of the day for which the VaR was estimated.

The main purpose is to
monitor, validate and evaluate the VaR model’s adherence and the number of breaks that occurred should be in line with the number
of breaks accepted by the statistical tests carried out for the required level of confidence of 99.0%. Another purpose is to improve the
models used by us, by way of analyses carried out for different VaR observation periods and confidence levels, both for Total VaR and
by risk factors.

In 2024, the daily results,
both from hypothetical and effective perspectives, exceeded the respective VaR with a confidence level of 99.0% twice in hypothetical
vision and three times in effective vision. In accordance with the paper published by the Basel Committee on Banking Supervision (Supervisory
Framework for the use “ Backtesting” in Conjunction with the Internal Models Approach to Market Risk Capital Requirements of
January 1996), the deviations would be classified as “either bad luck or the markets moved in a fashion unanticipated by the model”,
that is, the volatility was significantly higher than expected and/or the correlations differed from those presumed by the model.

In 2024, VaR of the trading
portfolio, at one-day horizon and net of tax effects, presented maximum and minimum values of R$44.1 million in the third quarter and
R$7.8 million in the first quarter, respectively. The tables below show the value at risk, according to the methodology of the VaR.

  1st Quarter                                                             On March 31              
  Average               Minimum                              Maximum                               
 ───────────────────────────────────────────────────────────────────────────────────────────────────
                        2024 - R$ in thousands                                                     
                        Risk Factors                                                               
                        Reais (fixed and floating rate)       15,621           10,487      21,369  
  Exchange coupon