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. Under the new model, the portfolio’s reported risk fell by roughly half. Within months, the trades https://quantitative-trading-rese98641.popup-blog.com/42075010/the-number-that-said-it-was-safe-institutional-lessons-in-algorithmic-trading-risk-management