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Silvestro Lo Cascio

University of Catania - Department of Economics and Business

Corso Italia, 55

Catania, CT Catania 95128

Italy

  • University of Catania - Department of Economics and Business

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A Refined Measure of Conditional Maximum Drawdown

Number of pages: 16 Posted: 11 Mar 2019 Last Revised: 01 Aug 2019
Damiano Rossello and Silvestro Lo Cascio
Department of Economics and Business and University of Catania - Department of Economics and Business
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Abstract:

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Intra-Horizon Risk; Risk Measures for Processes, Maximum Drawdown, Running Minimum, Conditional Risk measures, Systemic Risk