ABN Amro’s market risk charge grew 54% over Q1

Dutch bank hit with higher VAR and SVAR multipliers

ABN Amro saw its market risk capital charge rise 54% to €164 million ($198 million) in the first quarter, as the bank ratcheted up the multipliers applied to its value-at-risk and stressed VAR (SVAR) components to 3.25x and 3.5x from 3x, respectively. 

The European Central Bank imposed the higher multipliers following its review of the bank’s in-house risk modelling. As a result, its charge rose by €12 million over the first three months of the year, a fifth of the total quarterly increase. The

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 info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here