RBI’s market risk gauges go haywire on Ukraine war fallout
Portfolio reshuffling helps Austrian bank contain RWA impact
Raiffeisen Bank International (RBI) saw market risk blow up in the first quarter, as the Austrian bank got caught up in Western-led economic retaliation on Russia over the invasion of Ukraine.
The bank’s 20-day value-at-risk – its most comprehensive measure of banking and trading book sensitivity to market swings – jumped 154% to €426 million ($450 million) as of March 31, which also marked its quarterly zenith. Credit spread risk more than doubled to €205 million, while interest rate risk
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