Maximum drawdown: models and applications

Detalhes bibliográficos
Autor(a) principal: Mendes, Beatriz Vaz de Melo
Data de Publicação: 2003
Outros Autores: Leal, Ricardo Pereira Câmara
Tipo de documento: Relatório
Idioma: eng
Título da fonte: Repositório Institucional da UFRJ
Texto Completo: http://hdl.handle.net/11422/9478
Resumo: Indisponível.
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spelling Mendes, Beatriz Vaz de MeloLeal, Ricardo Pereira Câmara2019-09-12T15:57:37Z2023-11-30T03:01:02Z2003MENDES, Beatriz Vaz de Melo; LEAL, Ricardo Pereira Câmara. Maximum drawdown: models and applications. Rio de Janeiro: UFRJ, 2003. (Relatórios COPPEAD, 359)85750804231518-3335http://hdl.handle.net/11422/9478Indisponível.Financial series may possess fractal dimensions which would induce cycles of many different durations. This inherent characteristic would explain the turbulent cascades in stock markets when strong local dependence is observed. A drawdown is defined as the percentual accumulated loss due to a sequence of drops in the price of an investment. It is collected over non-fixed time intervals and its duration is also a random variable. The maximum drawdown occuring during a fixed investment horizon is a flexible measure that may provide a different perception of the risk and price flow of an investment. In this paper we propose statistical models from the extreme value theory for the severity and duration of the maximum drawdown. Our empirical results indicate that there may exist a relation between the pattern of the GARCH volatility of an investment and the fluctuations of the severity of the maximum drawdown and that, typically, extreme (but not outlying) maximum drawdowns occur during stress periods of high volatility. We suggest applications for the maximum drawdown, including the computation of the Maximum Drawdown-at-Risk with exceedance probability α, and the classification of investments according to their performance when controlling losses via the maximum drawdown.Submitted by Anderson Luiz Cardoso Rodrigues (andersonlcr@hotmail.com) on 2019-09-12T15:57:37Z No. of bitstreams: 1 RC_359-Comp..pdf: 387267 bytes, checksum: 7a48f8fd77d69f522c2b5133d96776c0 (MD5)Made available in DSpace on 2019-09-12T15:57:37Z (GMT). No. of bitstreams: 1 RC_359-Comp..pdf: 387267 bytes, checksum: 7a48f8fd77d69f522c2b5133d96776c0 (MD5) Previous issue date: 2003engUniversidade Federal do Rio de JaneiroUFRJBrasilInstituto COPPEAD de AdministraçãoRelatórios COPPEADCNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAOFinançasWorking paperMaximum drawdown: models and applicationsinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/report359abertoinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional da UFRJinstname:Universidade Federal do Rio de Janeiro (UFRJ)instacron:UFRJLICENSElicense.txtlicense.txttext/plain; charset=utf-81853http://pantheon.ufrj.br:80/bitstream/11422/9478/2/license.txtdd32849f2bfb22da963c3aac6e26e255MD52ORIGINALRC_359-Comp..pdfRC_359-Comp..pdfapplication/pdf387267http://pantheon.ufrj.br:80/bitstream/11422/9478/1/RC_359-Comp..pdf7a48f8fd77d69f522c2b5133d96776c0MD5111422/94782023-11-30 00:01:02.547oai:pantheon.ufrj.br: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Repositório de PublicaçõesPUBhttp://www.pantheon.ufrj.br/oai/requestopendoar:2023-11-30T03:01:02Repositório Institucional da UFRJ - Universidade Federal do Rio de Janeiro (UFRJ)false
dc.title.en.fl_str_mv Maximum drawdown: models and applications
title Maximum drawdown: models and applications
spellingShingle Maximum drawdown: models and applications
Mendes, Beatriz Vaz de Melo
CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO
Finanças
Working paper
title_short Maximum drawdown: models and applications
title_full Maximum drawdown: models and applications
title_fullStr Maximum drawdown: models and applications
title_full_unstemmed Maximum drawdown: models and applications
title_sort Maximum drawdown: models and applications
author Mendes, Beatriz Vaz de Melo
author_facet Mendes, Beatriz Vaz de Melo
Leal, Ricardo Pereira Câmara
author_role author
author2 Leal, Ricardo Pereira Câmara
author2_role author
dc.contributor.author.fl_str_mv Mendes, Beatriz Vaz de Melo
Leal, Ricardo Pereira Câmara
dc.subject.cnpq.fl_str_mv CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO
topic CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO
Finanças
Working paper
dc.subject.por.fl_str_mv Finanças
dc.subject.eng.fl_str_mv Working paper
description Indisponível.
publishDate 2003
dc.date.issued.fl_str_mv 2003
dc.date.accessioned.fl_str_mv 2019-09-12T15:57:37Z
dc.date.available.fl_str_mv 2023-11-30T03:01:02Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/report
format report
status_str publishedVersion
dc.identifier.citation.fl_str_mv MENDES, Beatriz Vaz de Melo; LEAL, Ricardo Pereira Câmara. Maximum drawdown: models and applications. Rio de Janeiro: UFRJ, 2003. (Relatórios COPPEAD, 359)
dc.identifier.uri.fl_str_mv http://hdl.handle.net/11422/9478
dc.identifier.isbn.pt_BR.fl_str_mv 8575080423
dc.identifier.issn.pt_BR.fl_str_mv 1518-3335
identifier_str_mv MENDES, Beatriz Vaz de Melo; LEAL, Ricardo Pereira Câmara. Maximum drawdown: models and applications. Rio de Janeiro: UFRJ, 2003. (Relatórios COPPEAD, 359)
8575080423
1518-3335
url http://hdl.handle.net/11422/9478
dc.language.iso.fl_str_mv eng
language eng
dc.relation.ispartof.pt_BR.fl_str_mv Relatórios COPPEAD
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.publisher.none.fl_str_mv Universidade Federal do Rio de Janeiro
dc.publisher.initials.fl_str_mv UFRJ
dc.publisher.country.fl_str_mv Brasil
dc.publisher.department.fl_str_mv Instituto COPPEAD de Administração
publisher.none.fl_str_mv Universidade Federal do Rio de Janeiro
dc.source.none.fl_str_mv reponame:Repositório Institucional da UFRJ
instname:Universidade Federal do Rio de Janeiro (UFRJ)
instacron:UFRJ
instname_str Universidade Federal do Rio de Janeiro (UFRJ)
instacron_str UFRJ
institution UFRJ
reponame_str Repositório Institucional da UFRJ
collection Repositório Institucional da UFRJ
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