Commerz’s VAR multiplier ratchets up after three breaches in H1
Bank dodged increase in market RWAs by rebalancing to a lower-risk trading portfolio
Commerzbank notched three new value-at-risk overshoots in the first half of the year – a misstep that could have inflated its capital requirements, had it not been for a risk-abating portfolio repositioning.
The bank breached VAR – the maximum potential loss it can incur from market moves on any given day – on three occurrences against actual profit and loss and further three times against hypothetical P&L, which doesn’t take into account intraday position changes.
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