Commerz’s VAR multiplier ratchets up after three breaches in H1

Bank dodged increase in market RWAs by rebalancing to a lower-risk trading portfolio

Commerzbank notched three new value-at-risk overshoots in the first half of the year – a misstep that could have inflated its capital requirements, had it not been for a risk-abating portfolio repositioning.

The bank breached VAR – the maximum potential loss it can incur from market moves on any given day – on three occurrences against actual profit and loss and further three times against hypothetical P&L, which doesn’t take into account intraday position changes.

  !function(e,i,n,s){var t=

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