Ding, Rui; Uryasev, Stan - In: Journal of risk and financial management : JRFM 13 (2020) 11/270, pp. 1-18
institution) systemic risk contribution measures and propose a new CoCDaR (conditional drawdown-at-risk conditioned on an …% drawdown will be noticed by CoCDaR, while CoVaR and CoCVaR are not sensitive to relatively small one period losses. The … function of some other factors. For instance, we show how to perform fund drawdown style classification depending on drawdowns …