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When The Risk Model Is the Risk: Algorithmic Trading Risk Management, the Institutional Way

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At The start of 2012, a portfolio held by JPMorgan Chase’s Chief Investment Office kept breaching its risk limits. Then the bank adopted a new value-at-risk model, and the problem seemed to go away. The new model roughly halved the portfolio’s reported risk. Months later, the trades that became known https://algorithmic-trading-risk28495.wikisona.com/2739027/when_the_risk_model_is_the_risk_institutional_lessons_in_algorithmic_trading_risk_management
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