Browsing: kurtosis

Posts Tagged ‘ kurtosis ’

Kurtosis Diagnosis: Don’t get Skewed!

Aug 20th, 2018 | Filed under: Newly Added, What about beta?, The A.I. Industry, Risk management, Risk Metrics and Measurement, Risk Management Strategies & Processes

By Bill Kelly, CEO, CAIA Association The quote “what gets measured gets managed” is oft-times attributed to the author and consultant Peter Drucker. The origin is less significant than its modern-day meaning and, while it is most often used in the context of business management, it ports quite well into the management ofRead More

A Word of Caution on the Modified Distribution

Jan 29th, 2012 | Filed under: Performance, Analytics & Metrics, Hedge Fund Operations and Risk Management

Peter Urbani looks at Cornish Fisher and modified VaR as a function of skewness.Read More