Fat tail: Difference between revisions
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imported>Doug Williamson (Removed link) |
imported>Doug Williamson (Layout.) |
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'Fat tails' describes the greater likelihood of extreme | '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 | This means that the likelihood - and size - of extreme negative events are systematically underestimated by conventional statistical models. | ||
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* [[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.
