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.


Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

If you already have an account, please sign in here.

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here