How is the risk into portfolio measured in Crash Metrics
How is the risk into portfolio measured in Crash Metrics?
Expert
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).
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Mr. James K. Silber, an avid international investor, sold a share of Rhone-Poulenc only, a French firm, for FF42. The share was bought for FF42 year ago. The exchange rate is FF6.15 per U.S. dollar and was FF6.65 per dollar a year ago. Mr. Silber acquired FF4
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