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. Months afterward, the trades https://quantitativetradingresear29517.newbigblog.com/248570/the-number-that-said-it-was-safe-algorithmic-trading-risk-management-the-institutional-way