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The Number That Said It Was Safe: What Institutions Know About Algorithmic Trading Risk Management

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In Early 2012, a portfolio inside JPMorgan Chase’s Chief Investment Office was breaching its risk limits. Then the bank adopted a new value-at-risk model, and the problem seemed to go away. The new model cut the portfolio’s reported risk roughly in half. Months afterward, the trades that came to be https://kylertojbv.mappywiki.com/2705694/the_number_that_said_it_was_safe_institutional_lessons_in_algorithmic_trading_risk_management
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