At The start of 2012, a portfolio held by JPMorgan Chase’s Chief Investment Office kept breaching its risk limits. Then the bank adopted a new value-at-risk model, and the problem seemed to go away. The new model roughly halved the portfolio’s reported risk. Months later, the trades that became known https://quantitativetradingresear62849.robhasawiki.com/12503787/the_number_that_said_it_was_safe_institutional_lessons_in_algorithmic_trading_risk_management