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When The Risk Model Is the Risk: What Institutions Know About Algorithmic Trading Risk Management

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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. Within months, the trades later known as the https://plazosullivanrochecapital07394.ka-blogs.com/97147094/when-the-risk-model-is-the-risk-what-institutions-know-about-algorithmic-trading-risk-management
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