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. Under the new model, the portfolio’s reported risk fell by roughly half. Months later, the trades that became https://algorithmic-trading-softw74062.wikicarrier.com/1655630/when_the_risk_model_is_the_risk_institutional_lessons_in_algorithmic_trading_risk_management