Most EU banks use historical simulation approach to VAR

Almost three-quarters of European lenders use the historical simulation (HS) approach to model their market risks, the latest supervisory benchmarking exercise (SVB) by the bloc’s banking watchdog shows.

Of the 54 banks that participated in the 2020 SVB, conducted by the European Banking Authority (EBA), 72% said they used this approach to produce value-at-risk outputs for their trading portfolios. This compares with 65% of 50 banks in last year’s exercise.

Thirteen per cent of the 2020

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