US banks notch most VAR overshoots since pandemic
Dealers’ gauges underestimated trading inventory price swings on 34 occasions during Q2
US banks logged the most value-at-risk backtesting breaches in five years during the second quarter, as panic around tariffs strained models the hardest since Covid-19’s outbreak.
Actual price moves blindsided VAR forecasts on 34 occasions – the highest tally since Q1 2020, when banks recorded an unprecedented 207 breaches, which were largely disregarded by regulators in light of the emergency
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