Deutsche’s IMA RWAs jump 12% on SVAR recalibration
RWAs linked to stressed component bloat €3.5 billion on switch in historical reference period
Deutsche Bank’s modelled market risk-weighted assets (RWAs) rose 12.4% during Q4 after the lender updated the historical period underpinning stressed value-at-risk (SVAR).
Market RWAs under the internal models approach (IMA) totalled €17.5 billion ($20.1 billion), up from €15.5 billion at end-September. A sharp rise in the SVAR component more than offset drops in the incremental risk charge (IRC)
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