JP Morgan’s equity VAR hit GFC levels in March
Bank blames now-matured client position for temporary risk surge
JP Morgan’s value-at-risk for equities surged to its highest level since the global financial crisis during the first quarter.
At one point in March, management VAR for equity risk – calculated with a one-day horizon and a 95% confidence level – touched $138 million, the hottest reading since Q1 2009, when the metric hit $156 million. Even at the peak of Covid-19-induced market panic in Q1 2020
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