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When The Risk Model Is the Risk: Institutional Lessons in Algorithmic Trading Risk Management

ernests271zsk9
At The start of 2012, a portfolio held by JPMorgan Chase’s Chief Investment Office kept breaching its risk limits. Then a new value-at-risk model was introduced, and the problem appeared to disappear. The new model roughly halved the portfolio’s reported risk. Months later, the trades that became known as the https://ai-trading-infrastructure29506.wiki-promo.com/1693550/when_the_risk_model_is_the_risk_algorithmic_trading_risk_management_the_institutional_way
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