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imported>Doug Williamson |
imported>Doug Williamson |
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| Leptokurtosis is observed in many financial distributions.
| | In a lease contract, the user of the leased asset. |
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| It means a more ‘pointy-headed’ and ‘fat tailed’ observed distribution, compared with the distributions predicted by the normal and lognormal models.
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| Importantly, there is a fatter downside tail (‘left tail’) in the observed data.
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| In other words the observed frequency of large negative returns (or results) is greater than predicted - for example - by the lognormal model of the distribution assumed in the Black Scholes option pricing model.
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| Because of leptokurtosis, Value at Risk models which use a normal frequency distribution will understate the Value at Risk.
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| == See also == | | == See also == |
| * [[Black Scholes option pricing model]] | | * [[Lease]] |
| * [[Fat tail]] | | * [[Lessor]] |
| * [[Leptokurtic frequency distribution]]
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| * [[Lognormal frequency distribution]]
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| * [[Normal frequency distribution]]
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| * [[Tail]]
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| * [[Value at risk]]
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| [[Category:The_business_context]] | | [[Category:The_business_context]] |
Latest revision as of 06:59, 29 June 2022
In a lease contract, the user of the leased asset.
See also