BNP Paribas’ VAR hit 12-year high in Q1
Equity portfolio VAR surged 27% quarter on quarter
French bank BNP Paribas’ trading value-at-risk measure averaged €55 million ($66 million) over the first quarter, its highest level since Q4 2009, when the lender was grappling with the aftershocks of the global financial crisis.
The Q1 VAR reading was 22% higher than that for Q4 2020 and 2% up on Q2 2020, when the coronavirus crisis first threw markets into a spin.
Equities VAR jumped the most quarter on quarter, by 27% to €33 million. Credit VAR increased 15% and interest rates VAR 16%. The
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