ATP: Equity tail risk not priced accurately by markets


An underrating of the chances of tail-risk events occurring by standard risk models means hedging against extreme events in the equity market is underpriced, according to Danish pension fund ATP's chief investment officer, Bjarne Graven Larsen.

Speaking at Life & Pension Risk's Nordic conference in Stockholm earlier this week, Larsen said that ATP's statistical analysis of daily returns of European equities since January 1, 2006 saw two price moves that – according to a normal distribution –

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