Early In 2012, a portfolio in JPMorgan Chase’s Chief Investment Office was running over its risk limits. Then a new value-at-risk model was introduced, and the problem appeared to disappear. Under the new model, the portfolio’s reported risk fell by roughly half. Within months, the trades later known as the https://algorithmictradingsoftwar85173.wikicommunication.com/6482575/when_the_risk_model_is_the_risk_what_institutions_know_about_algorithmic_trading_risk_management
Who Measures The Measurer?: What Institutions Know About Algorithmic Trading Risk Management
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