Goldman breached VAR limit 16 times in H1

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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