

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 [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact [email protected] to find out more.
You are currently unable to copy this content. Please contact [email protected] to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
More on Risk Quantum
Regulation
What lies beneath: Nomura’s iceberg balance sheet
Collateral received by the Japanese bank exceeds its total on-balance-sheet assets – does it matter?
Receive this by email