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When The Risk Model Is the Risk: 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. Within months, the trades later known as https://plazo-sullivan-roche-capi52839.blog-mall.com/43722482/the-number-that-said-it-was-safe-institutional-lessons-in-algorithmic-trading-risk-management
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