At The start of 2012, a portfolio held by JPMorgan Chase’s Chief Investment Office kept breaching its risk limits. Then the bank adopted a new value-at-risk model, and the problem seemed to go away. The new model cut the portfolio’s reported risk roughly in half. Months afterward, the trades that https://ai-trading-system-develop39406.wikijournalist.com/685751/the_number_that_said_it_was_safe_algorithmic_trading_risk_management_the_institutional_way
When The Risk Model Is the Risk: Algorithmic Trading Risk Management, the Institutional Way
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