ABN Amro saw its market risk capital charge rise 54% to €164 million ($198 million) in the first quarter, as the bank ratcheted up the multipliers applied to its value-at-risk (VAR) and stressed VAR components to 3.25x and 3.5x from 3x, respectively.
The European Central Bank imposed the higher multipliers following its review of the bank’s in-house risk modelling. As a result, its charge rose by €12 million over the first three months of the year, a fifth of the total quarterly increase. The
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