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.

  !function(e,i,n,s){var t="InfogramEmbeds",d=e.getElementsByTagName("script")[0];if(window[t]&&window[t].initialized)window[t].process&

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 or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here