tail risk


tail risk
Финансы: побочный риск

Универсальный англо-русский словарь. . 2011.

Смотреть что такое "tail risk" в других словарях:

  • Tail Risk — A form of portfolio risk that arises when the possibility that an investment will move more than three standard deviations from the mean is greater than what is shown by a normal distribution. When a portfolio of investments is put together, it… …   Investment dictionary

  • Tail value at risk — (TVaR), also known as tail conditional expectation (TCE), is a risk measure associated with the more general value at risk. It is equivalent to expected shortfall when the underlying distribution function is continuous at VaRα(X).[1] This is not… …   Wikipedia

  • Valuation risk — combines aspects of data management, financial engineering and modelling and uncertainties related to the changing conditions of financial markets.Valuation Risks have a direct impact on internal and regulatory compliance, counterparty exposure… …   Wikipedia

  • Kurtosis risk — denotes that observations are spread in a wider fashion than the normal distribution entails. In other words, fewer observations cluster near the average and more observations populate the extremes either far above or far below the average… …   Wikipedia

  • Coherent risk measure — In the field of financial economics there are a number of ways that risk can be defined; to clarify the concept theoreticians have described a number of properties that a risk measure might or might not have. A coherent risk measure is a function …   Wikipedia

  • Fat tail — A fat tail is a property of some probability distributions (alternatively referred to as heavy tailed distributions) exhibiting extremely large kurtosis particularly relative to the ubiquitous normal which itself is an example of an exceptionally …   Wikipedia

  • Conditional Value At Risk - CVaR — A risk assessment technique often used to reduce the probability a portfolio will incur large losses. This is performed by assessing the likelihood (at a specific confidence level) that a specific loss will exceed the value at risk.… …   Investment dictionary

  • Operational risk — Categories of financial risk Credit risk Concentration risk Market risk Interest rate risk Currency risk Equity risk Commodity risk Liquidity risk Refinancing risk …   Wikipedia

  • Value at risk — (VaR) is a maximum tolerable loss that could occur with a given probability within a given period of time. VaR is a widely applied concept to measure and manage many types of risk, although it is most commonly used to measure and manage the… …   Wikipedia

  • long-tail — ˈlong tail adjective [only before a noun] INSURANCE long tail claims etc happen a long time after the beginning of the insurance contract, or take a long time to be settled: • Long tail pollution claims in the US may take decades to resolve. * *… …   Financial and business terms

  • Specified risk material — (SRM) is the general term designated for tissues of ruminant animals that transmit BSE and other TSE prions. These can include brains, eyes, spinal cord, and other organs. The exact definition varies by jurisdiction. BSEThe BSE infective agent… …   Wikipedia

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