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://quantitative-trading-rese41738.boyblogguide.com/42069422/who-measures-the-measurer-institutional-lessons-in-algorithmic-trading-risk-management