JP Morgan’s VAR multiplier increases following Q2 breach
Citi also reported one backtesting exception but kept VAR-based market risk capital requirement flat
JP Morgan saw its multiplication factor applied to the value-at-risk-based capital requirement increase to 3.85 after incurring a VAR backtesting exception in the second quarter.
The bank reported a peak loss 122% larger than its own VAR model estimated. The second- and third-largest trading losses for the quarter stood at 93% and 72% of VAR, respectively.
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