Deutsche’s market RWAs hit 5-year low on VAR multiplier cut
Regulatory audit greenlit 0.5x cut in multiplier following bank’s overhaul of VAR approach
Deutsche Bank was given regulatory clearance to slash its value-at-risk multiplier from 4.5x to 4x in the third quarter, helping it push capital charges for market risk to their lowest in at least five years.
German regulator BaFin and the European Central Bank (ECB) jointly greenlit the multiplier change on September 9, after auditing the bank’s new historical simulation approach to VAR, which replaced its Monte Carlo model in Q4 last year.
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