In Early 2012, a portfolio inside JPMorgan Chase’s Chief Investment Office was breaching its risk limits. Then the bank adopted a new value-at-risk model, and the problem seemed to go away. The new model cut the portfolio’s reported risk roughly in half. Months later, the trades that became known as https://algorithmic-trading-softw52738.anchor-blog.com/23550791/who-measures-the-measurer-what-institutions-know-about-algorithmic-trading-risk-management
When The Risk Model Is the Risk: Institutional Lessons in Algorithmic Trading Risk Management
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