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. The new model cut the portfolio’s reported risk roughly in half. Within months, the trades later known as https://algorithmictradingriskman85172.illawiki.com/2760681/when_the_risk_model_is_the_risk_institutional_lessons_in_algorithmic_trading_risk_management
Who Measures The Measurer?: Algorithmic Trading Risk Management, the Institutional Way
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