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://quantitative-trading-rese74950.cosmicwiki.com/2722259/who_measures_the_measurer_institutional_lessons_in_algorithmic_trading_risk_management
The Number That Said It Was Safe: Institutional Lessons In Algorithmic Trading Risk Management
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