Risk glossary


Moments [of a statistical distribution]

The shape of any distribution can be described by its various ‘moments’. The first four are:

1) The mean, which indicates the central tendency of a distribution.

2) The second moment is the variance, which indicates the width or deviation.

3) The third moment is the skewness, which indicates any asymmetric ‘leaning’ to either left or right.

4) The fourth moment is the Kurtosis, which indicates the degree of central ‘peakedness’ or, equivalently, the ‘fatness’ of the outer tails.

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