Goldman Sachs’ VAR hits five-year high
Stormy markets pushed Goldman Sachs’ risk-of-loss to its highest level in five years on the way to one of its biggest trading quarters ever.
Average daily value-at-risk for Q1 2020 at the New York-based dealer was $81 million, a level last reached in Q1 2015. This is up 40% on Q4 2019 and 47% on the year-ago quarter. Interest rate VAR, at $60 million, was at its highest in at least five years, as was equity VAR, at $41 million.
Currency VAR hit $18 million, up 64% on Q4 2019, while commodities
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