Interest rate risk drives ING’s VAR to two-year high

Dutch lender’s trading risk indicator averaged €14 million in Q1

ING Bank recorded its highest trading value-at-risk reading in two years during the first quarter, driven by a spike in interest rate risk.

The end-quarter figure for management VAR – the bank’s estimate of the most its trading desk could lose on any given day – was €22 million ($24 million) on March 31, up from €14 million on December 31. For interest rate risk, the figures were €20 million and €13 million, respectively.

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