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. Under the new model, the portfolio’s reported risk fell by roughly half. Months later, the trades that became known https://quantitativetradingresear85172.total-blog.com/who-measures-the-measurer-what-institutions-know-about-algorithmic-trading-risk-management-69180527