Tail risk, sometimes called "fat tail risk," is the financial risk of an asset or portfolio of assets moving more than three standard deviations from its current price, above the risk of a normal distribution. Tail risks include low-probability events arising at both ends of a normal distribution curve, also known as tail events. However, as investors are generally more concerned with unexpected losses rather than gains, a debate about tail risk is focused on the left tail. Prudent asset managers are typically cautious with the tail involving losses which could damage or ruin portfolios, and not the beneficial tail of outsized gains.
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| - Rischio di coda (it)
- Tail risk (en)
- Хвостовой риск (ru)
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| - Tail risk, sometimes called "fat tail risk," is the financial risk of an asset or portfolio of assets moving more than three standard deviations from its current price, above the risk of a normal distribution. Tail risks include low-probability events arising at both ends of a normal distribution curve, also known as tail events. However, as investors are generally more concerned with unexpected losses rather than gains, a debate about tail risk is focused on the left tail. Prudent asset managers are typically cautious with the tail involving losses which could damage or ruin portfolios, and not the beneficial tail of outsized gains. (en)
- Il rischio di coda è il rischio di un bene o di un portafoglio di asset di registrare più di 3 deviazioni standard dal prezzo corrente in una funzione di probabilità di densità. Questo è spesso sottostimato utilizzando i normali metodi statistici per il calcolo della probabilità del cambiamento nel prezzo delle attività finanziarie. (it)
- Хвостовой риск или остаточный риск (англ. tail risk) — риск того, что цена актива или портфеля активов изменится больше, чем на три стандартных отклонения от текущей цены. При этом большинство управляющих активами контролируют только риск убытков, то есть риск снижения цены более чем на три стандартных отклонения ниже текущей цены. Общепринятая методика использования нормального приближения для оценки частотного распределения изменений в цене может занижать истинное значение остаточного риска из-за эффекта «» в финансовых данных. (ru)
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| - Tail risk, sometimes called "fat tail risk," is the financial risk of an asset or portfolio of assets moving more than three standard deviations from its current price, above the risk of a normal distribution. Tail risks include low-probability events arising at both ends of a normal distribution curve, also known as tail events. However, as investors are generally more concerned with unexpected losses rather than gains, a debate about tail risk is focused on the left tail. Prudent asset managers are typically cautious with the tail involving losses which could damage or ruin portfolios, and not the beneficial tail of outsized gains. The common technique of theorizing a normal distribution of price changes underestimates tail risk when market data exhibit fat tails, thus understating asset prices, stock returns and subsequent risk management strategies. Tail risk is sometimes defined less strictly: as merely the risk (or probability) of rare events. The arbitrary definition of the tail region as beyond three standard deviations may also be broadened, such as the SKEW index which uses the larger tail region starting at two standard deviations. Although tail risk cannot be eliminated, its impact can be somewhat mitigated by a robust diversification across assets, strategies, and the use of an asymmetric hedge. (en)
- Il rischio di coda è il rischio di un bene o di un portafoglio di asset di registrare più di 3 deviazioni standard dal prezzo corrente in una funzione di probabilità di densità. Questo è spesso sottostimato utilizzando i normali metodi statistici per il calcolo della probabilità del cambiamento nel prezzo delle attività finanziarie. La distribuzione normale, che può essere utilizzato per il calcolo della probabilità di cambiamenti improvvisi dei prezzi delle attività, è particolarmente incline a questo tipo di errore. Tuttavia molte, se non la maggior parte di questo tipo di analisi, sono esposte a tale errore seppure ad una scala minore. (it)
- Хвостовой риск или остаточный риск (англ. tail risk) — риск того, что цена актива или портфеля активов изменится больше, чем на три стандартных отклонения от текущей цены. При этом большинство управляющих активами контролируют только риск убытков, то есть риск снижения цены более чем на три стандартных отклонения ниже текущей цены. Общепринятая методика использования нормального приближения для оценки частотного распределения изменений в цене может занижать истинное значение остаточного риска из-за эффекта «» в финансовых данных. Менее строгое определение остаточного риска — это риск (или вероятность) наступления редких событий. (ru)
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