Extreme Events and Portfolio Construction [13]

Go to: Summary | Previous | Next   
Bullet points include: Banks that failed during 2007-09 Credit Crisis were disproportionately biased towards strategies that depended on continuing favourable liquidity conditions. Liquidity risk is highly fat-tailed. So these banks were (consciously or unconsciously) biasing their business strategies towards ones that had high kurtosis

Contents | Prev | Next | Library

Desktop view | Switch to Mobile