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. Under the new model, the portfolio’s reported risk fell by roughly half. Within months, the trades later known as https://algorithmictradingsoftwar62849.blogginaway.com/43644474/who-measures-the-measurer-what-institutions-know-about-algorithmic-trading-risk-management
Who Measures The Measurer?: Institutional Lessons in Algorithmic Trading Risk Management
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