JPMorgan revises market risk gauge

JPMorgan revised its gauge of market gains and losses to incorporate new regulatory requirements, resulting in a jump in the frequency of losses last year.

Bloomberg reports that under the new method, JPMorgan posted gains on 177 of the 260 trading days in 2013 and twice exceeded its estimated value-at-risk, according to the firm’s annual filing with the Securities and Exchange Commission today. With the old measurement, the bank had zero days of trading losses and never surpassed its VaR target, the firm said.

Value at risk is one measure that banks use to gauge how much traders could lose in a single day. JPMorgan disclosed in June 2012 that a miscalculation in VaR was one reason the firm failed to prevent a trader from losing more than $6.2bn that year. The 'London Whale' episode led to criminal charges against two of the trader’s former colleagues, management changes and more scrutiny from regulators.

To access the complete Bloomberg article hit the link below:

JPMorgan Revises Market Risk Gauge to Show Trading Losses 

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