BNPP, Credit Suisse, State Street incur VAR breaches
BNP Paribas capital multiplier increases on seventh breach in nine months
State Street and the US units of BNP Paribas and Credit Suisse all reported value-at-risk backtesting exceptions in the third quarter of the year, as a result of larger-than-expected trading losses.
The US custody bank experienced one day during the three months to end-September in which trading losses exceeded its VAR model estimates. BNP Paribas USA incurred two breaches, while Credit Suisse Holdings (USA) suffered one.
BNP Paribas has reported seven VAR breaches year-to-date, and as a
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