Trading VAR surged at Credit Suisse in Q2
The daily value-at-risk (VAR) of Credit Suisse’s trading portfolio surged to Sfr 80 million ($83 million) on average in Q2, up 131% on the prior quarter.
Heightened trading risks linked to credit and rates pushed the total higher. Average credit spread VAR almost tripled from Q1 to Sfr 96 million, and peaked at Sfr 125 million at one point in the second quarter. Interest rate VAR jumped 67% to Sfr 34 million, and peaked at Sfr 44 million.
Credit Suisse also reported three downside VAR
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact [email protected] to find out more.
You are currently unable to copy this content. Please contact [email protected] to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
More on Risk Quantum
7 days in 60 seconds
Big bangs, FinCEN leak and prime exodus
The week on Risk.net, October 10–16, 2020
Receive this by email