NatWest’s modelled market RWAs up 10% on RNIV backstop
Bank sees higher charges while it reworks VAR engine
NatWest Group’s modelled market risk charges climbed 10% in the third quarter, after the bank added an overlay while it refines its value-at-risk model’s sensitivity.
Market risk-weighted assets (RWAs) calculated under the internal models approach totalled £8 billion ($8.9 billion) at end-September, up from £7.3 billion at end-June. Of that increase, £601 million accrued from risks-not-in-VAR
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