JP Morgan’s VAR multiplier increases following Q2 breach

- By Alessandro Aimone
- @aimoneale
- 19 Aug 2022

Tweet
Facebook
LinkedIn
Save this article
Send to
Print this page

JP Morgan saw its multiplication factor applied to the value-at-risk-based capital requirement increase to 3.85 after incurring a VAR backtesting exception in the second quarter.

The bank reported a peak loss 122% larger than its own VAR model estimated. The second- and third-largest trading losses for the quarter stood at 93% and 72% of VAR, respectively.

!function(e,i,n,s){var t="InfogramEmbeds",d=e.getElementsByTagName("script")[0];if(window[t]&&window[t].initialized)window[t].process&

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to print this content. Please contact info@risk.net to find out more.

You are currently unable to copy this content. Please contact info@risk.net to find out more.

You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/

If you would like to purchase additional rights please email info@risk.net

You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/

If you would like to purchase additional rights please email info@risk.net