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The Number That Said It Was Safe: Institutional Lessons In Algorithmic Trading Risk Management

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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 later, the trades that became known as the https://elliotupibv.wikinstructions.com/641525/when_the_risk_model_is_the_risk_algorithmic_trading_risk_management_the_institutional_way
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