RBI’s modelled market charges surge 31% as SVAR spike
Widespread volatility in first half of year inflated stressed gauge despite 2022 wind-down of rouble positions
Raiffeisen Bank International’s (RBI) modelled market risk charges surged 31% in the first six months of the year, as a trading frenzy buoyed the daily potential-loss gauge, even after the bank exited volatile Russian ruble positions last year.
The Austrian bank’s modelled market risk-weighted assets (RWAs) rose from €1.3 billion ($1.37 billion) at end-2022 to €1.5 billion at end-March and €1.6 billion at end-June, driven largely by the stressed value-at-risk (SVAR) component – one of the two
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