In Early 2012, a portfolio inside JPMorgan Chase’s Chief Investment Office was breaching its risk limits. Then a new value-at-risk model arrived, and the problem seemed to vanish. Under the new model, the portfolio’s reported risk fell by roughly half. Months later, the trades that became known as the “London https://mylesqlgat.salesmanwiki.com/10776871/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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