Danske, Deutsche and PNC pin SVAR to Covid-19

Most global banks continue to use the global financial crisis to stress-test their portfolios

Danske Bank, Deutsche Bank and PNC Bank have revised the one-year period undergirding their stressed value-at-risk (SVAR) measure to 2020’s Covid-19 tumult, joining a club that remains exceedingly small, despite the hammering those turbulent months inflicted on banks’ portfolios.

Under Basel Committee on Banking Supervision rules for market risk, a bank using internal models must calculate the most it can lose from market swings on any given day, using data from both the past year and from a 12

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