JP Morgan flirts with VAR limits
Largest trading loss in Q2 reached 96% of bank’s VAR limit
Trading losses at the US’s largest bank came close to exceeding its value-at-risk estimate in the second quarter, after the highest losses-to-VAR ratio reached 96%.
Banks must disclose their three largest trading losses each quarter as a percentage of VAR. If losses exceed 100% of VAR, the bank incurs a breach. The second- and third-largest trading losses at JP Morgan reached 67% and 56% of VAR, respectively.
This compares with losses-to-VAR ratios of 33%, 25% and 14% in the first quarter of
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