The Bank of America Merrill Lynch #investors survey indicates that #inflation is currently the biggest tail #risk concern for professional investors. But what do we actually mean by tail risk? As investors we worry about extreme negative events/returns, but embrace extreme positive events/returns. With tail risk, we are technically talking about negative three standard deviation or worse events. In a normal distribution these events happen about 0.13% of the time. In terms of daily returns, these are the extreme negative events that happen about once every three years. Unfortunately, #asset #returns are not normally distributed. They are negatively skewed and exhibit positive excess kurtosis. Negative events occur more often than positive events and both the tails are fat. Fat tail risk still measures extreme negative #events. They just happen to occur more often than a normal distribution would suggest. #financialmarkets #cfainstitute #caia #frm
Related Videos:
vimeo.com/554476279
vimeo.com/429296077
vimeo.com/500536919
vimeo.com/473834284
vimeo.com/432171786
vimeo.com/504826467
vimeo.com/543625384
3 июн 2021
