Implementing and testing the Maximum Drawdown at Risk

被引：21

作者：

de Melo Mendes, Beatriz Vaz ^{[1
]}

Lavrado, Rafael Coelho ^{[2
]}

机构：

[1] Univ Fed Rio de Janeiro, COPPEAD IM, Rio De Janeiro, Brazil

[2] Inst Nacl Matemat Pura & Aplicada, IMPA, Rio De Janeiro, Brazil

来源：

FINANCE RESEARCH LETTERS | 2017年 / 22卷

关键词：

Risk management; Maximum drawdown; ARMA-GARCH; Simulations;

D O I：

10.1016/j.frl.2017.06.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Financial managers are mainly concerned about long lasting accumulated large losses which may lead to massive money withdrawals. To assess this risk feeling we compute the Maximum Drawdown, the largest price loss of an investment during some fixed time period. The Maximum Drawdown at Risk has become an important risk measure for commodity trading advisors, hedge funds managers, and regulators. In this study we propose an estimation methodology based on Monte Carlo simulations and empirically validate the procedure using international stock indices. We find that this tool provides more accurate market risk control and may be used to manage portfolio exposure, being useful to practitioners and financial analysts. (C) 2017 Elsevier Inc. All rights reserved.

引用

页码：95 / 100

页数：6

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