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The Number That Said It Was Safe: Algorithmic Trading Risk Management, The Institutional Way

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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. Months afterward, the trades that came to be https://plazosullivanrochecapital30516.thezenweb.com/who-measures-the-measurer-what-institutions-know-about-algorithmic-trading-risk-management-82559361
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