

VAR tail grew fatter at Bank of America in 2022
Gap between 95% and 99% confidence levels widens to 10-year record
Bank of America saw tail trading risk blow up last year, as the gap between lower- and higher-confidence value-at-risk measures widened to the highest in at least 10 years.
Over the year, one-day VAR averaged $129 million when measured at a 99% confidence level, but only $40 million under a 95% interval – the widest gap, in absolute terms, since 2013, when the bank first disclosed comparable measures.
In proportional terms, the higher-confidence figure was 223% higher than the lower-confidence
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 info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
More on Risk Quantum
Substitutability cap spares JPM, Citi higher Basel G-Sib surcharges
Stalled framework review by Basel Committee benefits world’s largest bank for 10th consecutive year
Most G-Sib indicators hit all-time highs in tumultuous 2022
Trading volumes and payment activity among fastest-surging indicators
UBS, three Chinese banks face higher capital surcharges
Credit Suisse and UniCredit dropped from G-Sib list in latest systemic risk assessment
HQLAs slide to multi-year lows at largest US regionals
Drops make US Bancorp, PNC and Truist ever more dependent on reduced LCR
SMFG loads up on foreign bonds
A 34% quarterly rise swells non-domestic portfolio to record size
Indian CCPs derecognition costs BNPP, Deutsche €6bn in RWAs
Esma’s decision forces re-weighting of local exposures by EU dealers
VAR breaches trip up Citi, CS USA and two others in Q3
Comerica’s VAR multiplier ratchets up while Huntington’s remains at record high
At US banks, paper losses on HTM securities hit new high
Bank of America leads way as mortgage-backed securities drive aggregate rise in Q3