Reuters: Regulatory News: SEC head says firms must reveal risk model changes

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SEC head says firms must reveal risk model changes May 22nd 2012, 15:41 WASHINGTON | Tue May 22, 2012 11:41am EDT WASHINGTON May 22 (Reuters) - Financial firms must disclose changes to the models they use to gauge their risk-taking, the head U.S. securities regulator said on Tuesday at a hearing examining recent massive trading losses at JPMorgan Chase & Co . "When there are changes to the (value-at-risk) model -- as newspapers have reported was done at JPMorgan; they changed their VaR model -- those changes have to be disclosed," Securities and Exchange Commission Chairman Mary Schapiro said at a Senate Banking Committee hearing. When JPMorgan Chief Executive Jamie Dimon announced on May 10 that the company had lost at least $2 billion through "egregious mistakes" in trading, he also said for the first time that the bank had changed its model for measuring VaR in the office where the derivatives portfolio was managed.

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