A review on drawdown risk measures and their implications for risk management
As highlighted by the recent market turmoil following COVID‐19, markets can experience
significant retracements or drawdowns. While these recent market moves have definitely …
significant retracements or drawdowns. While these recent market moves have definitely …
[HTML][HTML] On the drawdown of completely asymmetric Lévy processes
A Mijatović, MR Pistorius - Stochastic Processes and their Applications, 2012 - Elsevier
The drawdown process Y of a completely asymmetric Lévy process X is equal to X reflected
at its running supremum X¯: Y= X¯− X. In this paper we explicitly express in terms of the …
at its running supremum X¯: Y= X¯− X. In this paper we explicitly express in terms of the …
Drawdown: from practice to theory and back again
LR Goldberg, O Mahmoud - Mathematics and Financial Economics, 2017 - Springer
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 …
widely used indicators of risk in the fund management industry, but one of the least …
Pricing American drawdown options under Markov models
The drawdown in the price of an asset shows how much the price falls relative to its
historical maximum. This paper considers the pricing problem of perpetual American style …
historical maximum. This paper considers the pricing problem of perpetual American style …
Speed and duration of drawdown under general Markov models
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 …
(CTMC) approximation to compute the distributions of the speed and duration of drawdown …
On magnitude, asymptotics and duration of drawdowns for Lévy models
D Landriault, B Li, H Zhang - 2017 - projecteuclid.org
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 …
processes. First, we revisit some existing results on the magnitude of drawdowns for …
Bayesian quickest detection problems for some diffusion processes
PV Gapeev, AN Shiryaev - Advances in Applied Probability, 2013 - cambridge.org
We study the Bayesian problems of detecting a change in the drift rate of an observable
diffusion process with linear and exponential penalty costs for a detection delay. The optimal …
diffusion process with linear and exponential penalty costs for a detection delay. The optimal …
Occupation times, drawdowns, and drawups for one-dimensional regular diffusions
H Zhang - Advances in Applied Probability, 2015 - cambridge.org
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 …
reflected at its running maximum. The drawup process is given by X reflected at its running …
Maximum drawdown insurance
P Carr, H Zhang, O Hadjiliadis - International Journal of Theoretical …, 2011 - World Scientific
The drawdown of an asset is a risk measure defined in terms of the running maximum of the
asset's spot price over some period 0, T. The asset price is said to have drawn down by at …
asset's spot price over some period 0, T. The asset price is said to have drawn down by at …
Drawdowns and the speed of market crash
H Zhang, O Hadjiliadis - Methodology and Computing in Applied …, 2012 - Springer
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 …
market crashes. The first is the drawdown of an asset and the second is the duration of time …