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. Under the new model, the portfolio’s reported risk fell by roughly half. Within months, the trades later known https://dominickpkexq.wikinarration.com/8031625/when_the_risk_model_is_the_risk_what_institutions_know_about_algorithmic_trading_risk_management
Who Measures The Measurer?: Algorithmic Trading Risk Management, the Institutional Way
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