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 arrived, and the problem seemed to vanish. The new model roughly halved the portfolio’s reported risk. Months afterward, the trades that came to be called the https://deanmgbtn.wikiap.com/2718037/when_the_risk_model_is_the_risk_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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