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 was introduced, and the problem appeared to disappear. The new model cut the portfolio’s reported risk roughly in half. Within months, the trades later known as https://ai-trading-system-develop85173.wikiusnews.com/2671149/who_measures_the_measurer_algorithmic_trading_risk_management_the_institutional_way
When The Risk Model Is the Risk: Institutional Lessons in Algorithmic Trading Risk Management
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