What are fat tails?
Fat-tailed distributions (and more generally heavy-tailed distributions) are very useful statistical concepts when it comes to modeling of rare events with high impact. In finance, well-known examples of rare events with high impact include … Continue reading →
The problem
Like any tool-set, quantitative risk measurement based on past data has limitations. These limitations are significant with many of the model implementations currently available. The financial markets today are much more vulnerable and interdependent compared to the last … Continue reading →
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