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

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At The start of 2012, a portfolio held by JPMorgan Chase’s Chief Investment Office kept 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 https://collinztnts.law-wiki.com/2685664/who_measures_the_measurer_institutional_lessons_in_algorithmic_trading_risk_management
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