VAR spasms heap market risk charges on EU G-Sibs
VAR-based charges increase 94% on end-2019
Market risk capital requirements for the eurozone’s top banks increased one-third over the first six months of the year, largely driven by charges linked to risk-of-loss indicators.
The eight eurozone global systemically important banks (G-Sibs) reported aggregated market risk-weighted assets (RWAs) of €160.8 billion ($187.8 billion) as of end-June, €40 billion more than at end-2019. Dutch giant ING recorded the biggest increase, percentage-wise, with market RWAs growing 90% over the period
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