Drawdown Implied Correlations Part 2: Generalized Downside Implied Correlations

In the previous post I introduced a Drawdown Implied Correlation (DIC) that is a joint time-series measurement which converts maximum drawdowns into a correlation coefficient using a simple formula derived from portfolio math. The DIC had some unique features such as a point-in-time reference to the exact point of maximum drawdown, and a triple reference [ ]