Tail risk/Definition: Difference between revisions
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the risk that arises in a situation in which the probability of an occurrence that is three standard deviations away from the | the risk that arises in a situation in which the probability of an occurrence that is three standard deviations away from the mean is greater than it is in a normal distribution. | ||
Latest revision as of 02:29, 22 May 2009
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Tail risk [r]: the risk that arises in a situation in which the probability of an occurrence that is three standard deviations away from the mean is greater than it is in a normal distribution.