BNP incurs nine VAR breaches in Q1

Trading losses exceeded value-at-risk (VAR) estimates at BNP Paribas on nine days in the first quarter of 2020, more times than over the whole of the global financial crisis. 

The French bank disclosed a €17 million loss at its global markets division for Q1 2020, largely caused by a €184 million hit to equity derivatives linked to dividends. Wild moves in stock markets bamboozled its VAR model, causing the breaches.

The Q1 tally represents 29% of the 31 breaches the French bank has incurred

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