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The Number That Said It Was Safe: What Institutions Know About Algorithmic Trading Risk Management

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At The start of 2012, a portfolio held by JPMorgan Chase’s Chief Investment Office kept breaching its risk limits. Then the bank adopted a new value-at-risk model, and the problem seemed to go away. Under the new model, the portfolio’s reported risk fell by roughly half. Within months, the trades https://shanexqjbt.wikitron.com/2703220/when_the_risk_model_is_the_risk_what_institutions_know_about_algorithmic_trading_risk_management
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