- Deutsche Bank lost 12 times more than risk modelling predicted it could in one day of trading earlier this year.
- The losses which have been described as “very unusual” are still unexplained by commentators.
- The news raises questions of risk modelling and internal controls within Deutsche Bank, which has already had a troubled year.
Traders at Deutsche Bank’s US unit suffered losses 12 times larger than its risk projections estimate could occur in one day.
News of the trading day, which happened earlier this year, was detailed on a May filing from the bank, Bloomberg reported.
“There’s questions about what this was…. But all we know is there was this outsized day that was two, three, four times bigger than anything we’ve ever seen,” reporter Sonali Basak, told Bloomberg TV, adding “It’s very unusual.”
A spokesman for the bank said: “The losses referred to in the filing relate to equity index volatility exposures that are risk managed globally.”
“This occurred during a period in early February when significant moves were observed in equity index volatility. The actual one day VaR on the day in question was less than a third of the average regulatory VaR measure quoted in the filing which is a 10 day VaR. P&L for DB USA was positive on the day and over the five day period,” the bank said.
On 19 June, the day before news of the trading losses emerged, Deutsche bank let go of five emerging market traders.
The German headquartered bank has had a challenging year with the Fed naming the US unit “troubled” in May. DB has downsized parts of their business and let go of hundreds of employees, with some top traders leaving voluntarily.
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