Fat tail: Difference between revisions

From ACT Wiki
Jump to navigationJump to search
imported>Doug Williamson
(Create the page. Sources: linked pages.)
 
imported>Doug Williamson
(Layout.)
 
(3 intermediate revisions by the same user not shown)
Line 1: Line 1:
'Fat tails' describes the greater likelihood of extreme market conditions, than predicted by conventional models of probability.
'Fat tails' describes the greater likelihood of extreme conditions, than predicted by conventional models of probability.


This pattern is also known as 'leptokurtosis'.
This pattern is also known as 'leptokurtosis'.




This means that the likelihood and size of extreme negative events is systematically underestimated by conventional statisitcal models.
This means that the likelihood - and size - of extreme negative events are systematically underestimated by conventional statistical models.




== See also ==
== See also ==
* [[CertFMM]]
* [[Black swan]]
* [[Frequency distribution]]
* [[Frequency distribution]]
* [[Leptokurtic frequency distribution]]
* [[Leptokurtic frequency distribution]]
Line 16: Line 16:
* [[Tail event]]
* [[Tail event]]
* [[Tail risk]]
* [[Tail risk]]
* [[Tipping point]]
[[Category:The_business_context]]
[[Category:Identify_and_assess_risks]]
[[Category:Manage_risks]]
[[Category:Risk_frameworks]]
[[Category:Risk_reporting]]
[[Category:Financial_products_and_markets]]

Latest revision as of 22:01, 8 September 2021

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

This pattern is also known as 'leptokurtosis'.


This means that the likelihood - and size - of extreme negative events are systematically underestimated by conventional statistical models.


See also