Momentum and reversal effects in corporate bond prices and credit cycles
L Pospisil, J Zhang - The Journal of Fixed Income, 2010 - search.proquest.com
This article studies momentum and reversal patterns in corporate bond prices. The authors
analyze returns on two momentum trading strategies-buying bonds with the best past …
analyze returns on two momentum trading strategies-buying bonds with the best past …
[HTML][HTML] Formulas for stopped diffusion processes with stopping times based on drawdowns and drawups
L Pospisil, J Vecer, O Hadjiliadis - Stochastic Processes and their …, 2009 - Elsevier
This paper studies drawdown and drawup processes in a general diffusion model. The
main result is a formula for the joint distribution of the running minimum and the running …
main result is a formula for the joint distribution of the running minimum and the running …
Portfolio sensitivity to changes in the maximum and the maximum drawdown
L Pospisil, J Vecer - Quantitative Finance, 2010 - Taylor & Francis
In this article, we define new ‘Greeks’ for financial derivatives: sensitivities to the running
maximum and the running maximum drawdown of an underlying asset. Some types of portfolios…
maximum and the running maximum drawdown of an underlying asset. Some types of portfolios…
[PDF][PDF] PDE methods for the maximum drawdown
L Pospisil, J Vecer - Journal of Computational Finance, 2008 - stat.columbia.edu
Maximum drawdown is a risk measure that plays an important role in portfolio management.
In this paper, we address the question of computing the expected value of the maximum …
In this paper, we address the question of computing the expected value of the maximum …
Tradable measure of risk
L Pospisil, J Vecer, M Xu - 2007 - mpra.ub.uni-muenchen.de
The main idea of this paper is to introduce Tradeable Measures of Risk as an objective and
model independent way of measuring risk. The present methods of risk measurement, such …
model independent way of measuring risk. The present methods of risk measurement, such …
[PDF][PDF] Measuring Severity of the Market Crashes by Using Contracts on Maximum Relative Drawdown
J Vecer, P Novotny, L Pospisil - 2006 - stat.columbia.edu
Maximum Relative Drawdown measures the largest percentage drop of the price process
on a given time interval. More recently, Maximum Relative Drawdown has become more …
on a given time interval. More recently, Maximum Relative Drawdown has become more …
[PDF][PDF] Maximum Drawdown of a Jump-Diffusion Process and the Corresponding Partial Integro-Differential Equations
L Pospisil, J Vecer - GloriaMundi Preprint, 2010 - researchgate.net
Maximum drawdown of an asset can be considered an indicator of a market crash. Thus,
derivative contracts written on the maximum drawdown could serve as insurance against …
derivative contracts written on the maximum drawdown could serve as insurance against …
[PDF][PDF] How to Manage the Maximum Relative Drawdown
J Vecer, P Novotny, L Pospisil - 2006 - stat.columbia.edu
Maximum Relative Drawdown measures the largest percentage drop of the price process on
a given time interval. Recently, Maximum Relative Drawdown has become more popular as …
a given time interval. Recently, Maximum Relative Drawdown has become more popular as …
[PDF][PDF] Revisions to the RBC C1 Bond Factors Prepared for the and the
…, R Ziegler, A Levy, A Gupta, K Kumar, P Xu, L Pospisil… - 2021 - content.naic.org
1 Executive Summary In February 2021, Moody’s Analytics issued a report setting out its
assessment of the proposed revisions to the risk-based capital (RBC) C1 bond factors from the …
assessment of the proposed revisions to the risk-based capital (RBC) C1 bond factors from the …
[BOOK][B] Risk measures and maximum drawdown
L Pospisil - 2008 - search.proquest.com
The main objective of this thesis is to study methods of financial risk measurement that are
based on tradeable contracts and the market's view of future risks.
based on tradeable contracts and the market's view of future risks.