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VAR: broad in the USA

The US trading entities of top international dealers disclosed losses far in excess of modelled estimates on a handful of days last quarter as the coronavirus crisis raged. The US arm of Deutsche Bank, DB USA, disclosed one trading day last quarter on which losses exceeded its value-at-risk estimate by 1,017%. Royal Bank of Canada’s US operation, RBC US, topped that by incurring a loss 1,200% over VAR.

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