OCC faces VAR vetting questions over JP Morgan loss
US regulator is responsible for signing off models used for regulatory capital purposes
The post-mortem into the $2 billion loss at JP Morgan's chief investment office (CIO) is expanding to draw in the bank's regulators – and questions about whether and when they should have been told of changes to the value-at-risk model used by the CIO. The unit adopted a new VAR model at the start of this year, only to switch back to the previous iteration after losses spiralled – the old model showed the unit's $129 million average VAR during the first quarter was almost twice as high as the
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