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 cut the portfolio’s reported risk roughly in half. Months afterward, the trades that came to https://quantitative-trading-rese41738.boyblogguide.com/42069422/who-measures-the-measurer-institutional-lessons-in-algorithmic-trading-risk-management
Who Measures The Measurer?: Institutional Lessons in Algorithmic Trading Risk Management
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