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 …

[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 …

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…

[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 …

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 …

[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 …

[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 …

[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 …

[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 …

[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.