VAR breaches force capital add-on at StanChart

Standard Chartered incurred three value-at-risk model backtesting exceptions in Q2, which forced its market risk capital charge higher.  

The bank’s VAR model underestimated actual trading losses on April 1, May 30 and June 10. This brought StanChart’s tally of breaches over the last 250 business days to five, triggering an increase in the multiplier applied to its VAR-based capital requirements.

The standard VAR-based capital requirement climbed to $161.8 million at end-June, up 38% from Q1.

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