Model change pumps up Deutsche’s VAR capital charge
Switch to historical simulation approach increases requirement by 71%
Shifting to a historical simulation approach to calculating its trading risks added millions of euros to Deutsche Bank’s value-at-risk based capital requirement over the last three months of 2020.
As of end-2020, required capital to cover market risks assessed using its souped-up internal model totalled €2.1 billion ($2.5 billion), up just half-a-percentage point on end-September. However, the VAR-based component of this charge soared 71% to €969 million over the period. The bank said this was
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