State Street, Goldman push VAR limits the most
Of the eight US global systemically important banks (G-Sibs), State Street has been operating closest to its value-at-risk estimates over the past 12 months.
Banks must disclose their three largest trading losses each quarter as a percentage of value-at-risk. Risk Quantum found the average of these three ratios for each bank and for each quarter, and calculated the mean over the five quarters from Q2 2018 to Q2 2019.
The mean losses-to-VAR ratio at State Street was 90.11%, the highest of the G
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 [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact [email protected] to find out more.
You are currently unable to copy this content. Please contact [email protected] to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
More on Risk Quantum
