Barclays Got Amber Alert After Failing to Predict Trading Losses
- Downgrade meant bank had to hold extra capital buffer
- In six months of 2018, models failed to predict certain losses
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As an activist investor targets Barclays Plc for taking on too much risk, the London-based lender has disclosed how its internal models failed to predict a series of trading losses at its investment bank.
Barclays issued a so-called amber alert last year after the issues with its trading arm’s value-at-risk modeling, according to a recent filing. Tests of its models identified more unexpected losses than international rules allow for “green” status, leading to the downgrade of its risk-management systems during a six-month period in 2018 -- well before the selloff that roiled markets at the end of last year.