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When The Risk Model Is the Risk: What Institutions Know About Algorithmic Trading Risk Management

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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 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 https://mylesqkexq.wikirecognition.com/2690883/the_number_that_said_it_was_safe_algorithmic_trading_risk_management_the_institutional_way
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