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://algorithmictradingsoftwar84051.blog5star.com/43216818/when-the-risk-model-is-the-risk-algorithmic-trading-risk-management-the-institutional-way
The Number That Said It Was Safe: Algorithmic Trading Risk Management, The Institutional Way
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