EU banks racked up VAR breaches in 2021
Crédit Agricole and ING Bank hit with higher multipliers after exception count rises
Gusts of volatility repeatedly threw top European Union banks’ value-at-risk models off balance over the course of 2021, triggering higher capital requirement multipliers in two instances.
Crédit Agricole notched up six backtesting exceptions through the year – where a bank’s end-of-day loss is larger than what was forecast by the VAR model – while ING Bank racked up five breaches. The VAR models of both banks and most of their peers are calibrated to a 99% confidence level, meaning losses
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