Early In 2012, a portfolio in JPMorgan Chase’s Chief Investment Office was running over its risk limits. Then a new value-at-risk model was introduced, and the problem appeared to disappear. The new model roughly halved the portfolio’s reported risk. Months later, the trades that became known as the “London Whale” https://quantitative-trading-rese98641.popup-blog.com/42075010/the-number-that-said-it-was-safe-institutional-lessons-in-algorithmic-trading-risk-management