Risk glossary


Heavy-tailed distribution (fat-tailed)

A distribution in which the extreme portion of the distribution (the part furthest from the median) spreads out further relative to the width of the centre (middle 50%) of the distribution than is the case for the normal distribution. For a symmetric heavy-tailed distribution, the probability of observing a value far from the median in either direction is greater than it would be for the normal distribution. Heavy-tailed describes a distribution with excess kurtosis.

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