Nomura understated VAR capital charges by 13% in H2 2020

- By Lorenzo Migliorato and Alessandro Aimone
- 07 Jul 2021

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Nomura understated its market risk from securities financial transactions in the last two quarters of 2020, reporting value-at-risk based capital requirements 13% lower than their actual levels.

The Japanese bank issued a number of corrections on June 30, saying they were due to some of the parameters applied to market risk calculations not being properly updated and other changes to its risk calculation system not being implemented.

Nomura’s revised VAR risk-weighted assets (RWAs) –

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