JP Morgan logs two VAR breaches as trading revenue slumps
Largest trading loss in Q4 reached 262% of the bank’s VAR limit, matching a breach reported at the height of the Covid-19 pandemic
JP Morgan experienced two value-at-risk breaches in the fourth quarter of 2024, coinciding with its weakest trading performance in more than a year.
Regulatory VAR, which estimates the largest potential daily trading loss, failed backtesting twice, with actual losses equivalent to 262% of its modelled estimate on one occasion and 108% on another.
The specific days and loss amounts were not disclosed but the larger overshoot, relative to VAR, was on par with an exception recorded in Q1 2020. It
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