CrashMetrics: Preparing Your Portfolio for the Worst
Value at Risk tells you what to expect on a normal day. But what about the days that are not normal? What about crashes? Chapter 43 introduces CrashMetrics, which is Wilmott’s own creation. If VaR is about routine market conditions, CrashMetrics is the opposite side of the coin. It is about fire sales, panic, and the far-from-orderly liquidation of assets.