At The start of 2012, a portfolio held by JPMorgan Chase’s Chief Investment Office kept 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 https://quantitativetradingresear95172.kylieblog.com/43418437/when-the-risk-model-is-the-risk-what-institutions-know-about-algorithmic-trading-risk-management