Tail Risk: Difference between revisions

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Latest revision as of 13:44, 16 April 2021

Definition

Tail Risk is both an informal term denoting unusually occuring tail events and a more precise team denoting concreate classes of risk measures.

Etymology

The term Tail Risk likely originates from the classification of probability distributions into fat-tailed and thin-tailed distributions, the "tail" of the distribution being regions away from the mean or median.