HSBC, Intesa incorporate 2022–23 downturn into SVAR models
Turbulent past two years implied to be worse than GFC in stressed simulations
HSBC and Intesa Sanpaolo have become among the first top dealers to incorporate the tumultuous events of the past two years in their stressed value-at-risk (SVAR) calculations, testament to the extraordinary significance of recent market upheavals.
Between July and October last year, HSBC anchored its SVAR computation to market inputs from the January 2022–February 2023 window, later moved to October 2021–October 2022. By the end of December, the bank had reverted to using data from the November
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