VAR-based charges drop at Goldman and Wells, rise at JP

US global systemically important banks’ (G-Sibs) value-at-risk capital charges fell 7% on average in the three months to September, as the level of market risk exposure decreased for the second consecutive quarter.

Goldman Sachs and Wells Fargo posted the largest drop in their VAR-based capital requirements on the quarter, by 18% each, compared to a relatively flat second quarter. They were followed by Bank of America, which cut its requirements by 12%.

State Street, BNY Mellon, Morgan Stanley

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: