Goldman suffers first VAR breach since 2016
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 the bank’s largest daily loss to its VAR estimate was 149%, while the second largest stood at 127%.
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