HSBC leads EU banks on VAR measures
In aggregate, IMA risk exposures focused on traded debt
HSBC had the most trading risk exposures measured using the internal model approach (IMA) of the banks featured in the European Union’s latest transparency exercise.
The UK bank had €26.8 billion ($29.9 billion) of IMA market risk-weighted assets (RWAs) as of end-June 2019. Deutsche Bank followed with €25.3 billion, and BNP Paribas with €17.6 billion.
RWAs closely tracked the value-at-risk measures disclosed for each bank. Every firm in the exercise disclosed their average VAR for the
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