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The Number That Said It Was Safe: 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://ai-trading-system-develop63940.mybloglicious.com/63483379/the-number-that-said-it-was-safe-institutional-lessons-in-algorithmic-trading-risk-management
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