Tail Risk & Fat Tails

A topic within Risk Management, itself one of 11 topics in that field and part of Finance & Investing.

Reading on Tail Risk & Fat Tails

2 works

Paper2011

Rare Macroeconomic Disasters

Robert J. Barro & José F. Ursua

Extends the historical record of large economic contractions across many countries and shows a rare-disaster risk model, in which investors demand a large premium against small-probability catastrophic outcomes, can explain the equity premium without appealing to unreasonable risk aversion.

link checked 17 Sept 2026

Finance & Investing · Risk Management

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Book2020

Statistical Consequences of Fat Tails: Real World Preasymptotics, Epistemology, and Applications

Nassim Nicholas Taleb

Shows standard statistical estimators — means, correlations, regressions — become unreliable or meaningless under fat-tailed distributions, and works out which techniques still function and which quietly fail.

Finance & Investing · Risk Management

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Reading on Tail Risk & Fat Tails

Rare Macroeconomic Disasters

Statistical Consequences of Fat Tails: Real World Preasymptotics, Epistemology, and Applications

Other topics in Risk Management