Fat tails: related pages
Bubble Security prices far above the levels which can be justified by any rational assessment of the real value of future cash flows. Bubbles inevitably burst.
Random walk Price changes in securities that are (a priori) purely random. Expected behaviour in efficient markets.
Value at risk A measure of the risk of a portfolio; the loss that is unlikely to be exceeded in a given period of time with a given level of confidence.
Volatility A statistical measure of the risk of holding a security; the standard deviation of expected returns on a security.
Model risk The risk that a model may produce incorrect results.
Copyright Graeme Pietersz © 2005-2019
