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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At Milan bourse, Fiat stock closed at EUR31.90 per share on Friday, September 10, 1999. Fiat trades as & ADR on the NYSE. One underlying Fiat shares equivalent one ADR. On September 10, the $/EUR spot exchange rate was $1.0367/EUR1.00. At this exchange
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