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 roughly halved the portfolio’s reported risk. Months later, the trades that became known as the https://quantitativetradingresear85172.total-blog.com/who-measures-the-measurer-what-institutions-know-about-algorithmic-trading-risk-management-69180527