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The Number That Said It Was Safe: Institutional Lessons In Algorithmic Trading Risk Management

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Early In 2012, a portfolio in JPMorgan Chase’s Chief Investment Office was running over its risk limits. Then a new value-at-risk model was introduced, and the problem appeared to disappear. Under the new model, the portfolio’s reported risk fell by roughly half. Months afterward, the trades that came to be https://tysonnjdwo.scrappingwiki.com/2705819/who_measures_the_measurer_institutional_lessons_in_algorithmic_trading_risk_management
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