In Early 2012, a portfolio inside JPMorgan Chase’s Chief Investment Office was breaching its risk limits. Then a new value-at-risk model was introduced, and the problem appeared to disappear. Under the new model, the portfolio’s reported risk fell by roughly half. Months afterward, the trades that came to be called https://andersongbuok.wikijournalist.com/688215/who_measures_the_measurer_what_institutions_know_about_algorithmic_trading_risk_management
When The Risk Model Is the Risk: Institutional Lessons in Algorithmic Trading Risk Management
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