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. Within months, the trades later known as the https://quantitative-trading-rese07395.widblog.com/98592985/when-the-risk-model-is-the-risk-algorithmic-trading-risk-management-the-institutional-way