FT Alphaville has been running a series of blog posts digging in to items raised in the investigation of the fiasco at JP Morgan’s Chief Investment Office. The series is called The Belly of the Whale.
Today’s entry is a must read for anyone who has tried to “control” traders using quantitative risk measures. It’s all about gaming government capital rules. But shouldn’t any corporate officer who has to manage teams of traders have to worry about similar games being played?