ANZ’s end-period VAR spikes to highest in a decade
Interest rate risk drives 53% surge; market risk up A$1.6bn
ANZ recorded its highest end-period figures in nearly a decade for both regulatory and management value-at-risk on March 31.
The Australian bank’s one-day regulatory VAR – the largest amount it estimates it could reasonably lose over a one-day period – was A$29.5 million ($19.4 million), the largest end-quarter amount since 2014.
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