Extreme Events: Fat tails

Fat Tails and Extreme Events [7]

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Bullet points include: Time-varying nature of the world in which we live. Market / sector / instrument volatility (and maybe other distributional characteristics) change through time. Crowded trades and leverage. Selection effects, e.g. manager behaviour may (consciously or unconsciously) bias towards fat-tailed behaviour. As well as intrinsically skewed behaviour such as for individual bonds

Bullet points include: Time-varying nature of the world in which we live. Market / sector / instrument volatility (and maybe other distributional characteristics) change through time. Crowded trades and leverage. Selection effects, e.g. manager behaviour may (consciously or unconsciously) bias towards fat-tailed behaviour. As well as intrinsically skewed behaviour such as for individual bonds

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