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 was introduced, and the problem appeared to disappear. The new model cut the portfolio’s reported risk roughly in half. Months afterward, the trades that came to https://quantitativetradingresear29517.newbigblog.com/248570/the-number-that-said-it-was-safe-algorithmic-trading-risk-management-the-institutional-way