In Early 2012, a portfolio inside JPMorgan Chase’s Chief Investment Office was breaching its risk limits. Then a new value-at-risk model arrived, and the problem seemed to vanish. The new model roughly halved the portfolio’s reported risk. Months later, the trades that became known as the “London Whale” had produced https://daltonhdxql.webbuzzfeed.com/43175981/the-number-that-said-it-was-safe-algorithmic-trading-risk-management-the-institutional-way
The Number That Said It Was Safe: Institutional Lessons In Algorithmic Trading Risk Management
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