Deutsche Bank speaker Rolf Breuer recently boasted that his bank’s value-at-risk (VAR) models were the only ones in Germany to be approved by the supervisors in Berlin.
He was wrong.
One telephone call to Berlin established that Deutsche wasn’t the first to have its models approved, nor does it have the lowest multiplier (the factor – a minimum of three – set by supervisors by which the VAR figure is multiplied to set regulatory capital).
“They weren’t the first and they aren’t the best,” says an amused supervisor.
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