Nomura understated VAR capital charges by 13% in H2 2020

VAR RWAs should have been ¥122 billion higher than originally stated at end-December

Nomura understated its market risk from securities financial transactions in the last two quarters of 2020, reporting value-at-risk based capital requirements 13% lower than their actual levels.

The Japanese bank issued a number of corrections on June 30, saying they were due to some of the parameters applied to market risk calculations not being properly updated and other changes to its risk calculation system not being implemented.

  !function(e,i,n,s){var t="InfogramEmbeds",d=e

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

Most read articles loading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here