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Who Measures The Measurer?: Algorithmic Trading Risk Management, the Institutional Way

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Early In 2012, a portfolio in JPMorgan Chase’s Chief Investment Office was running over its risk limits. Then a new value-at-risk model arrived, and the problem seemed to vanish. Under the new model, the portfolio’s reported risk fell by roughly half. Months later, the trades that became known as the https://elliottezskf.nico-wiki.com/2742043/the_number_that_said_it_was_safe_institutional_lessons_in_algorithmic_trading_risk_management
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