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Who Measures The Measurer?: Algorithmic Trading Risk Management, the Institutional Way

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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 arrived, and the problem seemed to vanish. Under the new model, the portfolio’s reported risk fell by roughly half. Within months, the trades later known as https://quantitative-trading-rese84061.suomiblog.com/the-number-that-said-it-was-safe-institutional-lessons-in-algorithmic-trading-risk-management-59414737
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