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

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In Early 2012, a portfolio inside JPMorgan Chase’s Chief Investment Office was breaching its risk limits. Then a new value-at-risk model was introduced, and the problem appeared to disappear. The new model roughly halved the portfolio’s reported risk. Within months, the trades later known as the “London Whale” had generated https://aitradinginfrastructureco96284.wikigdia.com/8264527/the_number_that_said_it_was_safe_institutional_lessons_in_algorithmic_trading_risk_management
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