Worst-case crash stress testing

Describe the CrashMetrics approach to stress testing a portfolio.

CrashMetrics finds the worst loss a portfolio could suffer from a single extreme market move within a plausible range, rather than a probabilistic quantile. The portfolio value is expressed as a function of the crash size (using delta and gamma, or full revaluation) and minimised over the allowed range; across many assets moves are linked through crash coefficients relative to an index. It also suggests the cheapest options hedge (Platinum hedging) to improve that worst case.