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The Number That Said It Was Safe: Algorithmic Trading Risk Management, The Institutional Way

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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://dallasutrol.wikitron.com/2741305/the_number_that_said_it_was_safe_algorithmic_trading_risk_management_the_institutional_way
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