Danske breaches VAR four times, spurring RWA hike

Fifth hypothetical breach in six months triggers VAR multiplier increase

Danske Bank incurred four value-at-risk breaches in the second quarter of the year, pushing the multiplier used to derive capital requirements to 3.9x, just short of the maximum imposable under European Union rules.

The Copenhagen-based bank’s hypothetical – ie, before intraday portfolio moves – trading profit and loss (P&L) overshot VAR’s forecast on five occasions between March 4 and June 13, by between 25% and 81%.

  //

 

This triggered a 0.4x hike in the multiplier used to translate

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 [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] 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

If you already have an account, please sign in here.

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: