1

When The Risk Model Is the Risk: What Institutions Know About Algorithmic Trading Risk Management

roselynen150uoh7
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 arrived, and the problem seemed to vanish. Under the new model, the portfolio’s reported risk fell by roughly half. Within months, the trades later known as https://emilianozvqje.tribunablog.com/the-number-that-said-it-was-safe-institutional-lessons-in-algorithmic-trading-risk-management-58312303
Report this page

Comments

    HTML is allowed

Who Upvoted this Story