In Early 2012, a portfolio inside JPMorgan Chase’s Chief Investment Office was breaching its risk limits. Then the bank adopted a new value-at-risk model, and the problem seemed to go away. Under the new model, the portfolio’s reported risk fell by roughly half. Within months, the trades later known as https://zanderlgbtm.get-blogging.com/43252697/when-the-risk-model-is-the-risk-institutional-lessons-in-algorithmic-trading-risk-management
Who Measures The Measurer?: Algorithmic Trading Risk Management, the Institutional Way
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