UBS factors in Covid shock to stressed VAR, causing RWA surge
UBS’s market risk-weighted assets (RWAs), used to calculate regulatory capital requirements, jumped 11% to $11.8 billion in the last quarter of 2020. This was largely the result of the bank including Covid-19 period volatility to the historical dataset used to inform its stressed value-at-risk (SVAR) measure.
The bank disclosed in its Q4 report that its average SVAR – the calculation of which informs part of its overall market RWA amount – was driven up over the last three months of 2020
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