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. Within months, the trades later known as the https://aitradingsystemdevelopmen40617.wikicommunication.com/6480253/who_measures_the_measurer_institutional_lessons_in_algorithmic_trading_risk_management
The Number That Said It Was Safe: Algorithmic Trading Risk Management, The Institutional Way
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