VAR switch may explain $500 million capital hike at Wells Fargo
Change in stress period drives 15% increase in market risk capital requirement
A rare update to Wells Fargo’s value-at-risk model may have driven a 15% increase in its market risk capital over the three months to end-June.
The bank’s market risk capital requirement grew to $3.7 billion from $3.2 billion, the only significant capital surge across the eight US global systemically important banks (G-Sibs).
Two-thirds of this total increase was caused by a 25% leap in the bank's stressed value-at-risk requirement, to $1.5 billion. This jump occurred following a second
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