Tail risk is the risk of an asset or portfolio of assets moving more than 3 standard deviations from its current price. In particular, most asset managers are only interested in the downside risk, i.e. moving more than 3 standard deviations below its current price.
- 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
- "Tail Risk Definition". Investopedia. Retrieved February 6, 2011.
- Vineer Bhansali (December 2008). "Tail Risk Management: Why Investors Should Be Chasing Their Tails". PIMCO. Retrieved June 16, 2012.
- Ken Akoundi; John Haugh. "Tail Risk Hedging: A Roadmap for Asset Owners" (PDF). Deutsche Bank. Retrieved June 16, 2012.
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