HSBC’s SVAR hits highest in six years on interest rate sensitivity

- By Lorenzo Migliorato
- 27 Feb 2025

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HSBC’s stressed value-at-risk (SVAR) flared up to a six-year high in the second half of 2024, driven by higher sensitivity to modelled interest rate shocks.

During the period, the bank’s SVAR – calibrated to the same confidence interval as VAR but using market movements from a one-year historical period of financial stress – peaked at $399 million, the highest since the $409 million recorded during the latter half of 2018. The bank did not disclose the day the peak was recorded.

The SVAR gauge

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