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The Number That Said It Was Safe: Algorithmic Trading Risk Management, The Institutional Way

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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. Months afterward, the trades that came to https://reidhcwqk.plpwiki.com/7980383/when_the_risk_model_is_the_risk_what_institutions_know_about_algorithmic_trading_risk_management
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