JP Morgan’s VAR multiplier increases following Q2 breach

Citi also reported one backtesting exception but kept VAR-based market risk capital requirement flat

JP Morgan saw its multiplication factor applied to the value-at-risk-based capital requirement increase to 3.85 after incurring a VAR backtesting exception in the second quarter.

The bank reported a peak loss 122% larger than its own VAR model estimated. The second- and third-largest trading losses for the quarter stood at 93% and 72% of VAR, respectively.

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US banks must disclose their three largest trading losses each quarter as a percentage of VAR. If these exceed 100% of VAR, the

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