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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 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://algorithmic-trading-softw52849.wikissl.com/2601595/when_the_risk_model_is_the_risk_algorithmic_trading_risk_management_the_institutional_way
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