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 afterward, the trades that came to be https://ericksngas.digitollblog.com/43092870/the-number-that-said-it-was-safe-institutional-lessons-in-algorithmic-trading-risk-management