A refined measure of conditional maximum drawdown
Damiano Rossello, Silvestro Lo Cascio
| Year of publication: |
2021
|
|---|---|
| Authors: | Rossello, Damiano ; Lo Cascio, Silvestro |
| Subject: | Intra-horizon risk | Risk measures for processes | Maximum drawdown | Running minimum | Conditional risk measures | Systemic risk | Risiko | Risk | Messung | Measurement | Risikomaß | Risk measure | Systemrisiko | Theorie | Theory | Risikomanagement | Risk management | Bankrisiko | Bank risk | Portfolio-Management | Portfolio selection |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1057/s41283-021-00081-8 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012792822