JP Morgan shook up market risk stress tests in Q2
Top US dealers have to use a 12-month period of significant financial stress to calculate part of their market risk capital requirements. Over the second quarter, JP Morgan changed the starting date of its chosen stress period 60 times, having not moved it once over any of the preceding 21 quarters, regulatory filings show.
It is understood this reflects how the bank used the same lookback period for stressed value-at-risk (SVAR) as it did for the VAR-based measure over the quarter.
The SVAR
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