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When The Risk Model Is the Risk: Algorithmic Trading Risk Management, the Institutional Way

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Early In 2012, a portfolio in JPMorgan Chase’s Chief Investment Office was running over its risk limits. Then the bank adopted a new value-at-risk model, and the problem seemed to go away. Under the new model, the portfolio’s reported risk fell by roughly half. Within months, the trades later known https://beckettojdvq.muzwiki.com/659607/the_number_that_said_it_was_safe_algorithmic_trading_risk_management_the_institutional_way
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