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://quantitative-trading-rese84051.bleepblogs.com/43119717/when-the-risk-model-is-the-risk-what-institutions-know-about-algorithmic-trading-risk-management