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tail risk
Tail risk is the risk of an asset or portfolio of assets moving more than 3 standard deviations from its current price.〔(【引用サイトリンク】publisher=Investopedia )〕 In particular, most asset managers are only interested in the downside risk, i.e. moving more than 3 standard deviations below its current price.
The common technique of using a normal approximation to estimate the distribution of changes in price will underestimate the true value for tail risk due to fat tails in financial data.
Tail risk is sometimes defined less strictly, as merely the risk (or probability) of rare events.
==See also==
* Kolmogorov's zero–one law which is also known as a Tail event.
* Risk measure
* Taleb distribution
* Value at risk
* Black swan theory
* Tail risk parity
抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』
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