UniCredit tops Europe’s VAR breach leaderboard in 2024
Swedbank, Commerzbank and SocGen among model users repeatedly blindsided by volatility
UniCredit incurred seven value-at-risk backtesting breaches in 2024, the highest tally among European banks, as market volatility repeatedly caught dealers off-guard.
The Italian lender overshot its VAR threshold on a hypothetical – or ‘clean’ – profit-and-loss basis on May 17, August 1 and December 20. It also breached VAR on an actual – or ‘dirty’ – P&L basis on June 27, September 27, November 28 and December 20.
The breaches stemmed from a gamut of market disruptions: equity price swings in
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