Choppy markets, buying spree cause 28% VAR surge at BMO
The bank's VAR spiked for all asset classes bar commodities on the prior quarter
Trading risk at BMO Financial Group jumped over the three months to end-January in response to heightened market volatility and portfolio growth following the acquisition of fixed income broker-dealer KGS-Alpha.
The bank’s average value-at-risk rose 28% to C$11.4 million ($8.7 million) in the first quarter, to its highest level since the second quarter of 2016.
VAR spiked for all asset classes bar commodities on the prior quarter. Equity portfolio VAR vaulted 39% to C$5.4 million, credit VAR
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