French banks BNP Paribas and Société Générale are becoming more sensitive to capital markets volatility, as their value at risk exposures have increased to the levels of major European investment banks before the credit crisis began last summer.

Average quarterly VaR, which is a measure of the maximum loss that would be incurred in one trading day, at the two banks is now around €50m ($74m) to €70m, which was the range previously occupied by Credit Suisse and Deutsche Bank before the middle of last year, said John Raymond, an analyst at independent credit research firm CreditSights.