Six VAR breaches at ABN Amro in Q1
Market risk capital charge climbs 57% in response
Trading losses exceeded value-at-risk (VAR) estimates at ABN Amro on six days in the first quarter of 2020, causing its market risk capital charge to spiral.
These so-called VAR breaches forced the bank to ratchet up the multiplier applied to its market risk capital requirement to 3.5x from 3x. As a result, its charge was 57% higher than three months prior, at €1.7 billion ($1.8 billion).
The breaches occurred even as ABN Amro rapidly updated its expected risk-of-loss over the quarter. The
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