Goldman and Citi defy gravity on commodity VAR
Commodity VAR at Citi and Goldman Sachs stays about the same or increases from 2012–2014, as other major dealers pare back
Among a group of six major US and UK banks, Goldman Sachs and Citi are alone in maintaining or even slightly increasing their risk appetite in commodities during the past three years, regulatory filings show.
The filings cast a spotlight on the banks' value-at-risk, a number that reflects the maximum amount of money a firm might expect to lose during a period of adverse market conditions.
All six banks experienced a drop in levels of commodity VAR since 2011, reflecting a broad retreat from
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