Deutsche’s SVAR window update adds €2.2bn to RWAs

First-quarter surge comes after four consecutive reductions

Deutsche Bank’s market risk-weighted assets (RWAs) surged 11% in the first quarter as the bank updated model lookback windows, interrupting a four-quarter streak of reductions in trading risk charges.

Market RWAs rose €2.2 billion ($2.3 billion) to €21.9 billion, the result of a change in the historical period underpinning the stressed value-at-risk (SVAR) measure.



At Deutsche Bank, SVAR simulates the bank’s maximum potential trading loss, over 10 days, under a one-year window of

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