RBI’s VAR gauges hit new record

Banking and trading book risk rose in Q3 amid shifts in risk factor mix

Raiffeisen Bank International (RBI)’s market risk climbed to new records in the third quarter, though with wild divergences across individual risk factors.

The bank’s one-day value-at-risk, which covers short-term trading risk to profit and loss, rose 27% to €33 million ($34 million) in the three months to end-September, the highest end-quarter value in a comparable series stretching to Q4 2020.

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RBI’s 20-day VAR, which measures risk at the banking book and consolidated group levels

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