Goldman breached VAR limit 16 times in H1
US dealer also racked up 40 days on which trading profits exceeded $100 million
Whipsawing markets caused Goldman Sachs to breach its trading risk limits on 16 occasions over the first six months of the year. The firm temporarily increased its firm-wide value-at-risk tolerance in Q2 to compensate.
Goldman’s VAR limit is an internal market risk measure the bank uses to control its trading exposure, and is different from the regulatory risk-of-loss gauge used to calibrate capital requirements. When the bank exceeds its limit, it responds either by paring down trading
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