HSBC’s VAR up by a third amid methodology change
Duration risk behind latest spike as bank switches to 10-day holding period
HSBC updated its value-at-risk methodology for non-trading activities in the first half of 2024 to cover a longer time horizon, resulting in figures around three times larger than those calculated under the previous methodology.
At the end of June, the bank’s management VAR rose 37.3% to $791.5 million compared to the adjusted end-December figures using the new model, which is now calibrated to a 10-day holding window as opposed to one day previously. The average VAR rose 33% to $836.3 million
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