The long-term effect of Covid-19 on market risk capital

Louie Woodall
08 Sep 2020

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The feral markets that accompanied the start of the coronavirus pandemic may be a thing of the past, but they continue to affect banks’ capital charges – and will do so for some time to come.

Trading book capital requirements are set using a series of risk indicators, one of which is stressed value-at-risk (SVAR). A bank measures this by calculating how much its current portfolio would fall in value if subjected to a 12-month period of historic stress.

Most banks anchor this stress period to

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