Early In 2012, a portfolio in JPMorgan Chase’s Chief Investment Office was running over its risk limits. Then the bank adopted a new value-at-risk model, and the problem seemed to go away. The new model roughly halved the portfolio’s reported risk. Months later, the trades that became known as the https://quantitative-trading-rese84062.dekaronwiki.com/2713348/who_measures_the_measurer_institutional_lessons_in_algorithmic_trading_risk_management
When The Risk Model Is the Risk: Algorithmic Trading Risk Management, the Institutional Way
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