State Street, Goldman push VAR limits the most
Average of largest trading losses-to-VAR at State Street above 90% over past 12 months
Of the eight US global systemically important banks (G-Sibs), State Street has been operating closest to its value-at-risk estimates over the past 12 months.
Banks must disclose their three largest trading losses each quarter as a percentage of value-at-risk. Risk Quantum found the average of these three ratios for each bank and for each quarter, and calculated the mean over the five quarters from Q2 2018 to Q2 2019.
The mean losses-to-VAR ratio at State Street was 90.11%, the highest of the G
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