At The start of 2012, a portfolio held by JPMorgan Chase’s Chief Investment Office kept breaching its risk limits. Then a new value-at-risk model was introduced, and the problem appeared to disappear. The new model cut the portfolio’s reported risk roughly in half. Within months, the trades later known as https://algorithmictradingsoftwar52738.wikiadvocate.com/730581/when_the_risk_model_is_the_risk_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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