Risk knowledge base
Drawdown and ruin
Reference notes for evaluating downside paths and survival constraints.
AdvancedDraft
drawdownruinstress
Purpose
Frame risk as a path-dependent survival problem instead of a single volatility number.
Requirements
- Capital-at-risk rule
- Stress scenarios
- Recovery assumptions
Notes
A strategy can have attractive averages and still be unacceptable if its worst paths are not survivable.
Document maximum drawdown, time under water, tail scenarios, and whether the sizing rule adapts after losses.
Contributors
Security Reviewer