In Early 2012, a portfolio inside JPMorgan Chase’s Chief Investment Office was breaching its risk limits. Then a new value-at-risk model arrived, and the problem seemed to vanish. The new model cut the portfolio’s reported risk roughly in half. Months afterward, the trades that came to be called the “London https://zanderkfyqj.bmswiki.com/6465005/who_measures_the_measurer_institutional_lessons_in_algorithmic_trading_risk_management
When The Risk Model Is the Risk: Institutional Lessons in Algorithmic Trading Risk Management
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