State Street, Goldman push VAR limits the most
Average of largest trading losses-to-VAR at State Street above 90% over past 12 months
Of the eight US global systemically important banks (G-Sibs), State Street has been operating closest to its value-at-risk estimates over the past 12 months.
Banks must disclose their three largest trading losses each quarter as a percentage of value-at-risk. Risk Quantum found the average of these three ratios for each bank and for each quarter, and calculated the mean over the five quarters
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