How is the risk into portfolio measured in Crash Metrics
How is the risk into portfolio measured in Crash Metrics?
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In Crash Metrics that risk in portfolio, which is measured as the worst case over some range of equity moves as:
Worst-case loss = min-δS-≤δS≤δS+ F(δS).
In May 1995, Japan Life Insurance Company invested $10,000,000 in pure-discount U.S. bonds while the exchange rate was 80 yen per dollar. The company liquidated the investment one year afterwards for $10,650,000. The exchange rate turned out 110 yen per dollar
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