Volatility pushed HSBC’s modelled market risk up 37% in Q3

Erratic markets in Europe and Asia blamed for $6.4bn increase led by VAR and SVAR-based charges

HSBC’s modelled market risk charges ballooned 37% in the third quarter as volatility inflated the value-at-risk and stressed VAR (SVAR) components, returning capital requirements to a level last seen two years ago.

VAR- and SVAR-based RWAs climbed, respectively, 30% to $7.6 billion and 77% to $10.9 billion in the three months to end-September, which the bank generically attributed to “higher volatility in Europe and Asia”.

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