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When The Risk Model Is the Risk: What Institutions Know About Algorithmic Trading Risk Management

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At The start of 2012, a portfolio held by JPMorgan Chase’s Chief Investment Office kept breaching its risk limits. Then a new value-at-risk model was introduced, and the problem appeared to disappear. The new model cut the portfolio’s reported risk roughly in half. Within months, the trades later known as https://quantitative-trading-rese95061.blogdemls.com/43301866/when-the-risk-model-is-the-risk-algorithmic-trading-risk-management-the-institutional-way
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