Goldman suffers first VAR breach since 2016
Goldman reported 45 days in the calendar quarter where it suffered a trading loss
Goldman Sachs incurred two value-at-risk backtesting exceptions in the fourth quarter of last year as a result of larger-than-expected trading losses.
The US dealer reported two days during the three months to end-December when trading losses exceeded its VAR model estimates. Market risk reports show last quarter’s VAR exceptions were the first reported by Goldman since Q2 2016.
The ratio of
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