英文标题：
《Drawdown: From Practice to Theory and Back Again》
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作者：
Lisa R. Goldberg and Ola Mahmoud
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最新提交年份：
2016
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英文摘要：
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 developed in the context of measures of risk. We formalize drawdown risk as Conditional Expected Drawdown (CED), which is the tail mean of maximum drawdown distributions. We show that CED is a degree one positive homogenous risk measure, so that it can be linearly attributed to factors; and convex, so that it can be used in quantitative optimization. We empirically explore the differences in risk attributions based on CED, Expected Shortfall (ES) and volatility. An important feature of CED is its sensitivity to serial correlation. In an empirical study that fits AR(1) models to US Equity and US Bonds, we find substantially higher correlation between the autoregressive parameter and CED than with ES or with volatility.
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中文摘要：
最大支取，即从峰值到谷底的最大累积损失，是基金管理行业最广泛使用的风险指标之一，但在风险度量方面是最不发达的指标之一。我们将提款风险形式化为条件预期提款（CED），这是最大提款分布的尾部平均值。我们证明了CED是一个一级正同质风险度量，因此它可以线性地归因于各种因素；和凸性，因此可以用于定量优化。我们实证研究了基于CED、预期缺口和波动性的风险归因差异。CED的一个重要特征是它对序列相关性的敏感性。在一项将AR（1）模型与美国股票和美国债券相匹配的实证研究中，我们发现自回归参数与CED之间的相关性显著高于与ES或波动性之间的相关性。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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