December 11, 2024 (NO COMMENTS)

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.