EU market risk relief targets VAR measures
Dealers with a large percentage of their total capital set using value-at-risk stand to benefit most
European authorities told national watchdogs that they have the power to blunt required capital increases set to hit banks’ trading businesses by adjusting value-at-risk and stressed VAR-based requirements. Relaxing these would most benefit dealers with a large proportion of their total market risk capital set using VAR-based measures, including Danske Bank, ING and BNP Paribas.
The European
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