UBS incurred two VAR breaches in Q2

Risk Quantum understands the VAR backtesting exceptions stemmed from the Archegos blowout

UBS incurred two value-at-risk backtesting exceptions in the second quarter, marking the third time since the start of the year that the bank’s trading losses overshot internal estimates.

Risk Quantum understands all three year-to-date breaches stemmed from the default of Archegos Capital Management. Since the heavily-leveraged hedge fund collapsed in late March, several of its lenders have been forced to liquidate exposures at a loss.

  !function(e,i,n,s){var t="InfogramEmbeds",d=e

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

Most read articles loading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here