Gómez, Esteban; Mendoza, Juan Carlos; Gómez, Nancy Zamudio - Banco de la Republica de Colombia
The financial crisis of the late 2000's highlighted the importance of strengthening risk management systems in … financial markets. Consequently, an increasing interest in strategies to quantify risk under extreme scenarios has spawned. One … in portfolio value during periods of financial turmoil. Given that correlations between assets are stronger during a …