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When The Risk Model Is the Risk: Institutional Lessons in Algorithmic Trading Risk Management

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Early In 2012, a portfolio in JPMorgan Chase’s Chief Investment Office was running over its risk limits. Then the bank adopted a new value-at-risk model, and the problem seemed to go away. The new model cut the portfolio’s reported risk roughly in half. Months afterward, the trades that came to https://ricardoeztmg.azuria-wiki.com/2635263/the_number_that_said_it_was_safe_institutional_lessons_in_algorithmic_trading_risk_management
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