Kurtosis Risk
Kurtosis risk is a financial concept that acknowledges the higher probability of extreme market events than a normal distribution would suggest. It highlights the potential for unexpected gains or losses that can significantly impact investments and portfolios.
Tumisang Bogwasi
Tumisang Bogwasi
What is Kurtosis Risk?
Kurtosis risk refers to the potential for extreme, unexpected events to occur more frequently than predicted by a normal distribution (a bell curve). In financial markets, this means that events such as market crashes or rallies that are theoretically rare might happen more often in reality, leading to significant losses or gains that are difficult to model or hedge against.
A normal distribution assumes that extreme events are very infrequent. However, empirical data from financial markets often shows
