DRAWDOWN BETA for S&P 500 stocks. Drawdown Beta (DBeta) evaluates performance of a security during market drawdowns. Negative DBeta shows that the security had positive returns during market drawdowns (calculated on a daily basis). The website provides DBeta values for stocks in S&P500 index. It is based on 10 or 15 years of daily historical returns (for stocks with available data). DBeta concept is described in Zabarankin, Pavlikov, Uryasev (2014), download PDF file .
TEST PROBLEMS: RISK MANAGEMENT, FINANCIAL ENGINEERING, ADVANCED STATISTICS, LOGISTICS, and MEDICAL APPLICATIONS. The test problems include problem statements, data, and calculation results.
Research is focused on Financial Engineering Applications: portfolio optimization, asset and liability management (ALM), trading strategies, credit cards scoring, credit rating, derivatives pricing), Structured Finance (collateralized debt obligation (CDO), convertible bonds, mortgage backed securities); Risk Management (optimization of tail risk, Value-at-Risk (VaR), Conditional Value-at-Risk (CVaR), Expected Shortfall, Credit Risk, Drawdown, option pricing) and military applications.