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
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