This paper considers magnitude, asymptotics and duration of drawdowns for some Levy processes. First, we revisit some existing results on the magnitude of drawdowns for spectrally negative Levy processes using an approximation approach. For any spectrally negative Levy process whose scale...

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. To date, research on the topic has mainly focus on the side of severity by studying the first drawdown over certain...