Goldman suffers first VAR breach since 2016
Goldman reported 45 days in the calendar quarter where it suffered a trading loss
Goldman Sachs incurred two value-at-risk backtesting exceptions in the fourth quarter of last year as a result of larger-than-expected trading losses.
The US dealer reported two days during the three months to end-December when trading losses exceeded its VAR model estimates. Market risk reports show last quarter’s VAR exceptions were the first reported by Goldman since Q2 2016.
The ratio of
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Risk Quantum
MMFs’ Fed repos dwindle to five-year low
Just four managers account for remaining balances as funds shift to Treasuries and repos with dealers
US G-Sibs’ trading revenue ebbs to four-quarter low
Credit and rates income slump as Citi posts the sharpest decline
Metal rally lifts LME stress losses to record levels
Stress losses and liquidity obligations hit records in Q4
ABN Amro cuts €1.7bn of RWAs through Blackstone SRT
Deal with asset manager forms bank’s second synthetic transfer in 2025
Eurex dividend futures volumes jump on Iran shock
Turnover triples as investors hedge dividend cuts risk
CCP default funds grew to record size ahead of Iran war
End-2025 figures show widespread increases in prefunded resources
Comerica, Frost lead US banks on commodity derivatives concentration
Commodity-linked trades account for one-third of derivatives books at both lenders
Limited RWA gains support rethink on Fed output floor
Advanced approaches cut RWAs only marginally across US banks
