Factoring in Covid turmoil amped Bank of America's VAR in Q3

Bank of America’s trading risk-of-loss indicator leapt 35% higher in Q3, the result of the lender incorporating the first quarter’s coronavirus-inspired market tumult into its risk model. 

Average one-day value-at-risk (VAR), calculated at a 99% confidence level, ballooned to $109 million in the three months to end-September, up from $81 million in Q2 and $34 million a year prior.

At a 95% confidence level, average VAR for Q3 came in at $22 million, roughly in line with the second quarter’s

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 info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net 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 Risk.net? View our subscription options

You need to sign in to use this feature. If you don’t have a Risk.net 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