Difference between revisions of "Tail Risk"
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== Definition == | == Definition == | ||
− | '''Tail Risk''' is an informal term | + | '''Tail Risk''' is both an informal term denoting ''unusually'' occuring [[Tail Event | tail events]] and a more precise team denoting concreate classes of [[Risk Measure | risk measures]]. |
− | The term likely originates from the classification of probability | + | == Etymology == |
+ | |||
+ | The term Tail Risk likely originates from the classification of probability distributions into ''fat-tailed'' and ''thin-tailed'' [[Distribution | distributions]], the "tail" of the distribution being regions away from the mean or median. | ||
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[[Category:Tail Risk]] | [[Category:Tail Risk]] |
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.