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 roughly halved the portfolio’s reported risk. Months later, the trades that became known as the https://damienmgasm.gigswiki.com/6786305/the_number_that_said_it_was_safe_what_institutions_know_about_algorithmic_trading_risk_management
When The Risk Model Is the Risk: Algorithmic Trading Risk Management, the Institutional Way
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