At The start of 2012, a portfolio held by JPMorgan Chase’s Chief Investment Office kept breaching its risk limits. Then a new value-at-risk model arrived, and the problem seemed to vanish. The new model roughly halved the portfolio’s reported risk. Months later, the trades that became known as the “London https://plazosullivanrochecapital73940.wonderkingwiki.com/2732486/when_the_risk_model_is_the_risk_what_institutions_know_about_algorithmic_trading_risk_management
The Number That Said It Was Safe: Institutional Lessons In Algorithmic Trading Risk Management
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