Goldman’s 2020 VAR was its highest in nine years

- Louie Woodall
- 19 Jan 2021

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Goldman Sachs’ average daily trading value-at-risk measure for 2020 came to $94 million, its highest since 2011, a reflection of the extraordinary market conditions that took hold in the wake of the coronavirus crisis.

The average risk-of-loss number for the interest rates portfolio alone amounted to $71 million, the highest in eight years, while that for equities, at $55 million, was the highest in 10. Overall VAR for 2020 was 68% higher than that for 2019.

The surge in the risk measure was

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