Search Results - subject:"Conditional drawdown-at-risk"

Peng, Cheng; Kim, Young Shin; Mittnik, Stefan - In: Journal of Risk and Financial Management 15 (2022) 5, pp. 1-23

Hidden Markov Model. (ii) We use tail risk measures, namely conditional value-at-risk (CVaR) and conditional drawdown-at-risk …

Persistent link: https://www.econbiz.de/10014332431

Peng, Cheng; Kim, Young Shin; Mittnik, Stefan - In: Journal of risk and financial management : JRFM 15 (2022) 5, pp. 1-23

Hidden Markov Model. (ii) We use tail risk measures, namely conditional value-at-risk (CVaR) and conditional drawdown-at-risk …

Persistent link: https://www.econbiz.de/10013273511

Ding, Rui; Uryasev, Stan - In: Journal of risk and financial management : JRFM 13 (2020) 11/270, pp. 1-18

institution) systemic risk contribution measures and propose a new CoCDaR (conditional drawdown-at-risk conditioned on an …

Persistent link: https://www.econbiz.de/10012389811

Ding, Rui; Uryasev, Stan - In: Journal of Risk and Financial Management 13 (2020) 11, pp. 1-18

institution) systemic risk contribution measures and propose a new CoCDaR (conditional drawdown-at-risk conditioned on an …

Persistent link: https://www.econbiz.de/10012611498

Ding, Rui; Uryasev, Stan - In: Quantitative finance 22 (2022) 7, pp. 1265-1276

Persistent link: https://www.econbiz.de/10013367906

Zabarankin, Michael; Pavlikov, Konstantin; Uryasev, Stan - In: European journal of operational research : EJOR 234 (2014) 2, pp. 491-498

Persistent link: https://www.econbiz.de/10010356712

Zabarankin, Michael; Pavlikov, Konstantin; Uryasev, Stan - In: European Journal of Operational Research 234 (2014) 2, pp. 508-517

The notion of drawdown is central to active portfolio management. Conditional Drawdown-at-Risk (CDaR) is defined as the …

Persistent link: https://www.econbiz.de/10010730174