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.


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