VAR tail grew fatter at Bank of America in 2022
Gap between 95% and 99% confidence levels widens to 10-year record
Bank of America saw tail trading risk blow up last year, as the gap between lower- and higher-confidence value-at-risk measures widened to the highest in at least 10 years.
Over the year, one-day VAR averaged $129 million when measured at a 99% confidence level, but only $40 million under a 95% interval – the widest gap, in absolute terms, since 2013, when the bank first disclosed comparable measures.
In proportional terms, the higher-confidence figure was 223% higher than the lower
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