Model tweaks lift Danske’s market RWAs 30%
Tough trading quarter could also have pushed VAR-based charges higher
Market risk-weighted assets (RWAs) at Danske Bank surged 30% in Q3 on the back of higher requirements linked to the bank’s value-at-risk, stressed VAR and incremental risk charge measures.
Total market RWAs calculated under the bank’s own models stood at Dkr43 billion ($6.4 billion) at end-September, up from Dkr32.9 billion the previous quarter and Dkr31.1 billion the same quarter a year ago.
Danske Bank’s VAR-based charge rose 71%, quarter on quarter, to Dkr8.3 billion, which the bank
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