US banks’ VAR breaches up 2.5x in 2022
‘Hypothetical’ one-day losses exceeded VAR on 55 occasions, as losing trading days prevail
The US’s top dealers logged more overnight trading losses than wins during 2022, breaching value-at-risk estimates on 55 occasions – two-and-a-half times as often as the previous year.
On average, the 28 domestic and foreign-owned banks in the US analysed by Risk Quantum saw 133 days during the year when the ‘hypothetical’ trading result was in the red, versus 120 days of wins. The losing-day count was on a par with 2018, and up from 129 in 2021.
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Northern Trust fared the worst
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