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When The Risk Model Is the Risk: Algorithmic Trading Risk Management, the Institutional Way

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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. Within months, the trades later known as the https://plazosullivanrochecapital85172.blogkoo.com/when-the-risk-model-is-the-risk-algorithmic-trading-risk-management-the-institutional-way-63329482
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