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 arrived, and the problem seemed to vanish. The new model cut the portfolio’s reported risk roughly in half. Months afterward, the trades that came to be https://algorithmictradingriskman19516.blogdon.net/when-the-risk-model-is-the-risk-algorithmic-trading-risk-management-the-institutional-way-59734158