May 14, 2024 (NO COMMENTS)

Stressed trading-loss measure makes up 43% of banks’ modelled market risk charges


Capital requirements linked to stressed value-at-risk (SVAR) shot up 39.8% at HSBC and 54.6% at Standard Chartered during the first quarter, reaching their highest levels in five and four years respectively. At HSBC, SVAR risk-weighted assets (RWAs) hit $11.6 billion at the end of March, up from $8.3 billion three months earlier, representing the heftiest figure since December 2018’s $12.1 billion.