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 cut the portfolio’s reported risk roughly in half. Within months, the trades later known as the https://quantitativetradingresear84061.blog-kids.com/43574689/when-the-risk-model-is-the-risk-what-institutions-know-about-algorithmic-trading-risk-management
When The Risk Model Is the Risk: Algorithmic Trading Risk Management, the Institutional Way
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