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When The Risk Model Is the Risk: Institutional Lessons in Algorithmic Trading Risk Management

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In Early 2012, a portfolio inside JPMorgan Chase’s Chief Investment Office was breaching its risk limits. Then the bank adopted a new value-at-risk model, and the problem seemed to go away. The new model cut the portfolio’s reported risk roughly in half. Months afterward, the trades that came to be https://quantitative-trading-rese18405.homewikia.com/12626427/when_the_risk_model_is_the_risk_algorithmic_trading_risk_management_the_institutional_way
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