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 …