کد مقاله کد نشریه سال انتشار مقاله انگلیسی ترجمه فارسی نسخه تمام متن
5069225 1476982 2017 6 صفحه PDF سفارش دهید دانلود رایگان
عنوان انگلیسی مقاله ISI
Implementing and testing the Maximum Drawdown at Risk
ترجمه فارسی عنوان
پیاده سازی و تست حداکثر تخفیف در معرض خطر
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی


- Maximum Drawdown at Risk is a tool for controlling risk and preserving investment's capital.
- It is the most important risk measure for hedge fund managers and commodity trading advisors.
- Eight world stock indices are used to illustrate the methodology based on Monte Carlo simulations.
- The MDD model-based estimates are very accurate and respond quickly to changes in the volatility level.

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.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Finance Research Letters - Volume 22, August 2017, Pages 95-100
نویسندگان
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