Wall Street giants rack up VAR breaches
Goldman hit hardest as JP Morgan, BofA and Morgan Stanley also exceed model forecasts in Q1
Top US banks incurred a wave of value-at-risk backtesting breaches in the first quarter, as market volatility pushed several of the country’s largest dealers beyond their modelled loss estimates.
Goldman Sachs recorded three VAR exceptions, the most of any major US bank, pushing its capital multiplier above three for the first time in more than a decade. JP Morgan and Bank of America reported two
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