BofA’s VAR reels back to pre-pandemic level

- By Lorenzo Migliorato
- 08 Nov 2023

Bank of America’s one-day value-at-risk ebbed to the lowest level since the eve of the Covid-19 pandemic in the third quarter, putting the bank at the head of a general retrenchment in trading risk by top US dealers.

BofA’s management trading VAR – an estimate of the most the bank’s trading desk could lose on any given day on its trading and other fair-value positions – averaged $77 million

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