RNIV charges account for big chunk of Swiss banks’ capital
At UBS, 37.5% of its market risk capital requirement was for risks-not-in-VAR
Trading exposures that cannot be measured accurately using value-at-risk models make up more than one-third of UBS’s market risk capital charge, and almost as large a share at Credit Suisse.
Risks-not-in-VAR (RNIV) accounted for $329 million of the Swiss bank’s total market risk capital requirement of $878 million (37.5%) as of the second quarter of this year.
Its Swiss rival, Credit Suisse, had
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