Goldman chalks up highest VAR breach since pandemic
Nine breaches in total across 34 banks in Q3
Goldman Sachs recorded two value-at-risk breaches in the third quarter, including a loss equivalent to 258% of its modelled estimate – the most since the onset of the Covid-19 pandemic.
This was five times the largest daily loss-to-VAR ratio recorded by the bank in the previous three months, and only slightly below the record 266% set in Q1 2020. The second breach reported by Goldman in Q3 was a loss equal to 177% of VAR.
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