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When The Risk Model Is the Risk: Algorithmic Trading Risk Management, the Institutional Way

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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 was introduced, and the problem appeared to disappear. Under the new model, the portfolio’s reported risk fell by roughly half. Within months, the trades later known as the https://gregorywsnhc.ourabilitywiki.com/11161992/when_the_risk_model_is_the_risk_institutional_lessons_in_algorithmic_trading_risk_management
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