Danske breaches VAR four times, spurring RWA hike
Fifth hypothetical breach in six months triggers VAR multiplier increase
Danske Bank incurred four value-at-risk breaches in the second quarter of the year, pushing the multiplier used to derive capital requirements to 3.9x, just short of the maximum imposable under European Union rules.
The Copenhagen-based bank’s hypothetical – ie, before intraday portfolio moves – trading profit and loss (P&L) overshot VAR’s forecast on five occasions between March 4 and June 13, by between 25% and 81%.
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