Capital One, UBS Americas drive SVAR window adjustments in 2024
Bank duo responsible for over half of all lookback period changes across US banks
Capital One and UBS Americas adjusted their stressed value-at-risk (SVAR) reference periods 54 and 47 times respectively in 2024 – far more than any other bank in the US. Their combined total of 101 accounted for more than half of the 174 changes made by the 31 banks analysed by Risk Quantum.
The two banks also made the most adjustments over the last quarter of the year, at 12 and 10 times respectively.
Seven other banks altered their SVAR periods during Q4. Goldman Sachs ranked third with six
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