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. Under the new model, the portfolio’s reported risk fell by roughly half. Within months, the trades later known https://trevorcxrkd.prublogger.com/42227973/when-the-risk-model-is-the-risk-algorithmic-trading-risk-management-the-institutional-way
The Number That Said It Was Safe: Institutional Lessons In Algorithmic Trading Risk Management
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