Credit Suisse updates VAR disclosure to cover banking book

Credit Suisse overhauled how it reports its traded market risk exposures for Q4, expanding the scope of its value-at-risk measure to include market-sensitive positions held in its banking book.

Prior to Q4, Credit Suisse’s VAR disclosure just covered its trading book. Now positions held at fair value and foreign exchange and commodity risks in the banking book have been included. The bank said this was to align its disclosure with its internal risk management framework.

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