Credit Suisse updates VAR disclosure to cover banking book
Credit Suisse overhauled how it reports its traded market risk exposures for Q4, expanding the scope of its value-at-risk measure to include market-sensitive positions held in its banking book.
Prior to Q4, Credit Suisse’s VAR disclosure just covered its trading book. Now positions held at fair value and foreign exchange and commodity risks in the banking book have been included. The bank said this was to align its disclosure with its internal risk management framework.
!function(e,i,n,s)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
Derivatives
CFTC’s Stump: new talks needed on offshore client clearing
Libor demise should spur rethink on US customer access to foreign clearing providers, says commissioner
Receive this by email