Statement on VAR back-testing exceptions temporary approach

This page sets out our approach to VAR back-testing in light of the Covid-19 outbreak.
Published on 30 March 2020

We are aware that the exceptional levels of market volatility over the past few weeks has led to an elevated level of VAR back-testing breaches across the industry. In order to mitigate the possibility of procyclical market risk capital requirements through the automatic application of a higher VAR multiplier we will allow firms – on a temporary basis – to offset increases due to new exceptions through a commensurate reduction in risks-not-in-VAR (RNIV) capital requirements.


This page was last updated 30 March 2020
Was this page useful?
Add your details...