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. Under the new model, the portfolio’s reported risk fell by roughly half. Within months, the trades later known as the “London https://elliotupibv.wikinstructions.com/641525/when_the_risk_model_is_the_risk_algorithmic_trading_risk_management_the_institutional_way
Who Measures The Measurer?: What Institutions Know About Algorithmic Trading Risk Management
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