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A new Value-at-Risk model brought into use in Q1 masked the Chief Investment Office losses at...

Friday, May 11, 2012, 9:05 AM ET
A new Value-at-Risk model brought into use in Q1 masked the Chief Investment Office losses at JPM that eventually grew to $2B, reports Chris Whittall. The new model put the CIO's average VAR at $67M, when it would have been $129M under the old one (now back in use). Somewhere, Nassim Taleb is getting a call to make a media appearance.

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This news story has 4 comments:

Stoploss Comments (1727)

Hack?

WTF? Tell us it's all ok..

11 May 2012, 09:15 AM Reply Like

Stoploss Comments (1727)

This would be a good time to implement capitalism.

11 May 2012, 09:21 AM Reply Like

Stoploss Comments (1727)

Oh, and there better not be one taxpayer dollar spent on this turd, unless we get to see some body in cuff's first.

11 May 2012, 09:23 AM Reply Like

jstratt Comments (1414)

A VAR difference from 129 to 67 is a huge difference. How much value is a VAR that can vary by 50% at will?

This does suggest a problem regardless of all the apologists falling all over themselves to say great things about Dimon and JPM. Try telling your loan officer you owe between 250k and 500k and see how that works.

11 May 2012, 09:28 AM Reply Like

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