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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 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. Months afterward, the trades that came to https://cristianlgbuo.yourkwikimage.com/2730902/when_the_risk_model_is_the_risk_what_institutions_know_about_algorithmic_trading_risk_management
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