HSBC leads EU banks on VAR measures

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HSBC had the most trading risk exposures measured using the internal model approach (IMA) of the banks featured in the European Union’s latest transparency exercise.

The UK bank had €26.8 billion ($29.9 billion) of IMA market risk-weighted assets (RWAs) as of end-June 2019. Deutsche Bank followed with €25.3 billion, and BNP Paribas with €17.6 billion.

RWAs closely tracked the value-at-risk measures disclosed for each bank. Every firm in the exercise disclosed their average VAR for the

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