VAR breaches trip up Citi, CS USA and two others in Q3

- By Lorenzo Migliorato
- 22 Nov 2023

Four US dealers incurred value-at-risk backtesting exceptions in the third quarter, breaching VAR limits by as much as two-and-a-half times.

Citi, Credit Suisse USA and Comerica incurred one backtesting exception each, reporting a peak loss 270%, 364% and 251% larger than their respective VAR models estimated. Huntington Bancshares posted three model-busting losses, equating to 130%, 125% and

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