Fat tail and Notional pooling: Difference between pages

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'Fat tails' describes the greater likelihood of extreme market conditions, than predicted by conventional models of probability.
''Banking''.


This pattern is also known as 'leptokurtosis'.
The technique used by banks for calculating interest on balances in a notional cash pool.  


Excess funds in the accounts of a company or its subsidiaries are used to offset deficits in other company accounts for the purpose of determining interest earned or owed.


This means that the likelihood and size of extreme negative events is systematically underestimated by conventional statisitcal models.
Notional pooling is also referred to as interest offset pooling.




== See also ==
== See also ==
* [[CertFMM]]
* [[Cash pool]]
* [[Frequency distribution]]
* [[CertICM]]
* [[Leptokurtic frequency distribution]]
* [[Cross-guarantees]]
* [[Leptokurtosis]]
* [[Interest rate enhancement]]
* [[Normal frequency distribution]]
 
* [[Standard deviation]]
[[Category:Long_term_funding]]
* [[Tail event]]
[[Category:Cash_management]]
* [[Tail risk]]

Revision as of 08:14, 29 November 2014

Banking.

The technique used by banks for calculating interest on balances in a notional cash pool.

Excess funds in the accounts of a company or its subsidiaries are used to offset deficits in other company accounts for the purpose of determining interest earned or owed.

Notional pooling is also referred to as interest offset pooling.


See also