In Early 2012, a portfolio inside JPMorgan Chase’s Chief Investment Office was 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. Within months, the trades later known as the “London Whale” https://algorithmictradingriskman74062.wikifordummies.com/9914579/who_measures_the_measurer_institutional_lessons_in_algorithmic_trading_risk_management
When The Risk Model Is the Risk: Algorithmic Trading Risk Management, the Institutional Way
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