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 roughly halved the portfolio’s reported risk. Months later, the trades that became known as the “London https://quantitative-trading-rese84051.bleepblogs.com/43119717/when-the-risk-model-is-the-risk-what-institutions-know-about-algorithmic-trading-risk-management