Maximum drawdown, the largest cumulative loss from peak to trough, is one of the most
widely used indicators of risk in the fund management industry, but one of the least …

The barrier options become activated or extinguished only if the underlying asset's price
reaches a predetermined level. Options of the former case are the knock-in options, and …

We propose an efficient computational method based on continuous-time Markov chain
(CTMC) approximation to compute the distributions of the speed and duration of drawdown …

This paper considers magnitude, asymptotics and duration of drawdowns for some Lévy
processes. First, we revisit some existing results on the magnitude of drawdowns for …

The drawdown process of a one-dimensional regular diffusion process X is given by X
reflected at its running maximum. The drawup process is given by X reflected at its running …

In this paper we examine the probabilistic behavior of two quantities closely related to
market crashes. The first is the drawdown of an asset and the second is the duration of time …

Drawdowns measuring the decline in value from the historical running maxima over a given
period of time are considered as extremal events from the standpoint of risk management …

Common risk metrics reported in academia include volatility, skewness, and factor
exposures. The maximum drawdown statistic is rarely calculated, perhaps because it is path …

This paper studies the stochastic modeling of market drawdown events and the fair valuation
of insurance contracts based on drawdowns. We model the asset drawdown process as the …

Drawdown (respectively, drawup) of a stochastic process, also referred as the reflected
process at its supremum (respectively, infimum), has wide applications in many areas …