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Who Measures The Measurer?: Algorithmic Trading Risk Management, the Institutional Way

stevep160vog7
At The start of 2012, a portfolio held by JPMorgan Chase’s Chief Investment Office kept breaching its risk limits. Then a new value-at-risk model was introduced, and the problem appeared to disappear. The new model cut the portfolio’s reported risk roughly in half. Months afterward, the trades that came to https://miloxqkdv.luwebs.com/43858205/who-measures-the-measurer-institutional-lessons-in-algorithmic-trading-risk-management
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