Morgan Stanley unruffled by VAR model update

Quiet last quarter of 2019 saw average VAR down to $38 million

Trading risk at Morgan Stanley has held steady in recent quarters, in spite of a recent change to its value-at-risk model.

Average VAR at the New-York based lender was $39 million in Q4, down $3 million (7%) from Q3 and $10 million (20%) on the same quarter a year ago.

On July 1, the bank changed its VAR model, altering the methodology used to produce its trading risk measure for Q3 and Q4. Morgan Stanley said its Q3 average VAR would have been $1 million higher under the previous model.


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