Goldman Sachs’ VAR at three-year high
Increased client activity and market volatility increases firmwide risk
Goldman Sachs’ market risk surged in the first quarter to its highest level since early 2015 on the back of higher client activity and market volatility.
The US dealer’s total firmwide average daily value-at-risk stood at $73 million in the three months to March 31, 2018, up from $54 million in the previous quarter and from $64 million year-on-year.
Of this total, interest rate risk grew 35%
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