Hedge fund stake exit helps Credit Suisse cut VAR

Market risk-weighted assets at the AM unit drop almost 95% following the move

Credit Suisse’s one-day value-at-risk cooled by 16% in the second quarter, driven partially by the exit of a hedge fund investment by the asset management (AM) unit.

Average quarterly VAR – a gauge of the most the bank could lose in the markets on any trading day – dropped to $56 million, thanks to the “redemption of a hedge fund investment” allocated to the AM unit and lower securitised product risk at the investment bank. 

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