Citi, JP Morgan incurred record VAR overshoots in Q4

Peak single-day losses rank among worst for US banks post-pandemic

Citi and JP Morgan’s largest one-day trading losses in the fourth quarter of 2023 exceeded their respective value-at-risk limits almost eight and four times over.

Citi’s single VAR breach during the period, triggered by Argentina’s devaluation of the peso in December, was 797% larger than its own model estimate. It ranked as the worst overshoot of 2023 and the second worst since Q1 2020 across 32 US banks analysed by Risk Quantum

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