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).
The riskiness of portfolios should be looked at in a different way than the riskiness of individual assets. Explain.
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