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The Number That Said It Was Safe: Institutional Lessons In Algorithmic Trading Risk Management

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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 later, the trades that became known as https://ai-trading-infrastructure18405.oneworldwiki.com/8005568/the_number_that_said_it_was_safe_algorithmic_trading_risk_management_the_institutional_way
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