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. Under the new model, the portfolio’s reported risk fell by roughly half. Within months, the trades later known as https://quantitativetradingresear62849.robhasawiki.com/12503787/the_number_that_said_it_was_safe_institutional_lessons_in_algorithmic_trading_risk_management