At CIBC, commodity, forex and rate risks raise VAR 12%
Market risk capital requirement jumps to C$695 million on value-at-risk surge
Gyrations in commodity prices, currency markets and interest rates pushed the value-at-risk of Canadian Imperial Bank of Commerce’s trading portfolio up 12% in the three months to end-July.
The Toronto-based bank’s risk-of-loss, as measured by its VAR model, averaged C$5.7 million ($4.3 million) over the quarter, compared with C$5.1 million in the three months to end-April. Its stressed VAR, which uses historical data from the 2008 financial crisis to estimate the risk-of-loss of its portfolio
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