VAR breaches force capital add-on at StanChart
Value-at-risk capital requirement soars 38% to $161.8 million quarter-on-quarter
Standard Chartered incurred three value-at-risk model backtesting exceptions in Q2, which forced its market risk capital charge higher.
The bank’s VAR model underestimated actual trading losses on April 1, May 30 and June 10. This brought StanChart’s tally of breaches over the last 250 business days to five, triggering an increase in the multiplier applied to its VAR-based capital requirements.
The standard VAR-based capital requirement climbed to $161.8 million at end-June, up 38% from Q1
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
More on Risk Quantum
New real estate model adds €14bn to Rabobank RWAs
CET1 ratio down 1.2pp as capital stays flat
Norinchukin’s paper losses double to record high
Latest AOCI fluctuation knocks 29% off CET1 capital
Schwab’s short-term funding strategy shifts to secured borrowing post-2023 scare
Dealer cut unsecured borrowing and brokered deposits in favour of collateralised financing
Record number of US banks turned to riskless assets in Q1
Western Alliance leads pack with doubling of exposures in 0% bucket
Cleared rate for CDSs dropped in H2 2023
Record five-percentage point decline driven by multi-name contracts
ABN Amro takes €1.7bn RWA add-on from credit models rejig
Just over 40% of credit risk RWAs still calculated under the A-IRB approach, down from 90% two years ago
Japanese banks reap ¥9trn RWA savings from FRTB switch
Tokyo’s dealers fare better than overseas rivals on new CVA and market risk approaches
BBVA’s takeover of Sabadell would shrink its leverage ratio
New entity would have lowest ratio since 2020
Most read
- As risk of US Basel delay grows, Europe is in a bind over CVA
- T+1 shift sparks dividend chaos in HK structured products
- US large bank CRE risks could be understated, say researchers