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The Number That Said It Was Safe: What Institutions Know About 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 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://algorithmic-trading-risk17395.bmswiki.com/6429668/who_measures_the_measurer_institutional_lessons_in_algorithmic_trading_risk_management
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