CDaR. For every time moment, j=1,...J ,  portfolio  drawdown = d(j) = maxn ((uncompounded cumulative portfolio return at time moment n ) - (uncompounded cumulative portfolio return at time moment j )). CDaR  = CVaR Component Positive of vector (d(1), ..., d(J)) = average of the largest (1-α)%  components of the vector (d(1), ..., d(J)), where 0≤α≤1 .

 

Syntax

 

Parameters

       is a confidence level.

matrix        is a Matrix of Scenarios:

       

where the header row contains names of variables (except scenario_probability, and scenario_benchmark). Other rows contain numerical data. The scenario_probability, and scenario_benchmark columns are optional.

 

Mathematical Definition

CDaR function is calculated as follows

,

where:

is CVaR Risk function,

,

are scenarios for Gain Function (See section Loss and Gain Functions)

is an argument of CDaR function.

 

Example

 

Case Studies with CDaR

 

 

See also

CDaR for Gain, Drawdown  Maximum, Drawdown  Maximum for Gain, Drawdown  Average, Drawdown  Average for Gain, CDaR Multiple, CDaR for Gain Multiple, Drawdown  Maximum Multiple, Drawdown  Maximum for Gain Multiple, Drawdown  Average Multiple, Drawdown  Average for Gain Multiple