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. The new model cut the portfolio’s reported risk roughly in half. Months afterward, the trades that came to be https://algorithmic-trading-softw40516.bloggactif.com/44443087/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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