VAR multiplier hike sends UniCredit’s IMA charges up 23%
Market volatility following the invasion of Ukraine one of the drivers behind the increase
UniCredit’s modelled market risk charges inflated by 23% in the first quarter, partly as a result of an increase in the multiplier translating value-at-risk readings into capital requirements.
VAR-based risk-weighted assets (RWAs) rose 83% to €1.5 billion ($1.6 billion) during the period, while RWAs underpinned by stressed VAR (SVAR) climbed 29% to €4 billion.
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The internal model approach (IMA) applies a multiplier to translate quarterly average VAR and SVAR readings into RWAs. The
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