JP Morgan’s internal VAR hit 10-year high in March
CVA’s credit risk component split from VAR measure following credit spreads widening at some counterparties
JP Morgan’s internal value-at-risk overheated to a 10-year high in March, as global volatility and an idiosyncratic counterparty blow-up coalesced to push trading risk even higher than during the early days of the Covid-19 pandemic.
One-day VAR – the most the bank can lose from market swings on any given day – at a 95% confidence level peaked at $242 million at some point in early March.
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It was the highest reading since the second quarter of 2012, and some 48% higher than the $164
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