ABN Amro’s market risk drops as VAR falls 53%

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ABN Amro’s value-at-risk more than halved in the third quarter of the year, as the volatile scenarios from the Covid-19 aftermath fell out of the bank’s historical lookback period.

The bank reported a VAR measure of €141 million ($162 million) at end-September, down from €300 million at end-June and €352 million at end-March.

ABN Amro uses a 300-day window to calculate its VAR, which ended on September 30.

The drop in VAR was offset partially by an increase in the stressed VAR

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ABN Amro’s market risk drops as VAR falls 53%

Total market RWAs down 4% quarter on quarter

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