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CrashMetrics 1 Market Risk 1 Stress Testing 1 Taylor Approximation 1
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Book / Working Paper 1
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Undetermined 1
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Gómez, Esteban 1 Gómez, Nancy Zamudio 1 Mendoza, Juan Carlos 1
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Banco de la Republica de Colombia 1
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Temas de Estabilidad Financiera 1
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CrashMetrics: An Application for Colombia
Gómez, Esteban; Mendoza, Juan Carlos; Gómez, Nancy Zamudio - Banco de la Republica de Colombia
of such techniques is CrashMetrics, a methodology for estimating the exposure of a portfolio to severe market movements …. Using daily data, we find that CrashMetrics complements more traditional stress testing techniques, providing not only a … methodology than using other market risk measures. Thus, results indicate that CrashMetrics provides vital information from a …
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