VAR exceptions rise in third quarter
Several banks reported higher numbers of value-at-risk exceptions - days on which trading losses exceeded the maximum loss expected at a certain probability level - at either 95% or 99%. The VAR used for comparison was derived from the previous day's portfolio positions.
UBS was hardest hit, with 16 exceptions at 99% - its first exceptions since 1998. Credit Suisse followed with seven at 99%, compared with two in the first half of the year. Bear Stearns reported 10 at 95%, with only one before
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