JP Morgan’s VAR limits blown twice during haywire Q1
Breaches add to the two regulatory backtesting exceptions sustained the previous quarter
JP Morgan incurred two value-at-risk backtesting breaches in the first quarter – a volatile three months that saw the bank’s loss-potential gauge hit its highest in three years.
Daily losses topped 154% of VAR on one occasion and 115% on another. The bank had already incurred two overshoots in Q4, for 108% and 262% of VAR.
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