Capital One changed SVAR window 24 times in Q1

Since 2020, the lender updated its chosen stress period dozens of times each quarter, far more frequently than peers

Capital One has been switching the lookback window for its stressed value-at-risk (SVAR) measure 17 times a quarter on average since 2020, with 24 reshufflings in the most recent quarter alone, a Risk Quantum analysis shows.

As of end-March, the bank was using the 12 months beginning November 14, 2007, to stress its trading portfolio – the same as at end-December. But in the intervening three months, the bank moved the window’s start date repeatedly and far more frequently than its US peers.

 

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here