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. The new model roughly halved the portfolio’s reported risk. Within months, the trades later known as https://quantitative-trading-rese41739.bloggosite.com/51219957/the-number-that-said-it-was-safe-what-institutions-know-about-algorithmic-trading-risk-management