Goldman chalks up highest VAR breach since pandemic

- By Joshua Walker
- 11 Dec 2024

Goldman Sachs recorded two value-at-risk breaches in the third quarter, including a loss equivalent to 258% of its modelled estimate – the most since the onset of the Covid-19 pandemic.

This was five times the largest daily loss-to-VAR ratio recorded by the bank in the previous three months, and only slightly below the record 266% set in Q1 2020. The second breach reported by Goldman in Q3 was a

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.

As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.

If you would like to purchase additional rights please email info@risk.net

You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.

If you would like to purchase additional rights please email info@risk.net