StanChart racked up three VAR breaches in H1
Market volatility triggers VAR model review at the UK bank
Standard Chartered notched three value-at-risk (VAR) backtesting exceptions in the first six months of the year, bringing it to the verge of higher capital charges for trading activities.
The latest overshoots, one in March and two in June, followed five breaches in the second half of last year, taking the one-year rolling total to eight. One extra backtesting excess during the period would have triggered an increase in the multiplier used to translate VAR readings into capital charges.
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