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A Study of Fat-Tail Risk (paper)

“…whereas the normal distribution of the daily return of the S&P would suggest a negative three-sigma event (between -3.56% and -2.36% daily returns) should have occurred 27 days over the last one hundred years, this has actually occurred over a hundred times in the 81 years since 1927.  And the “normal” likelihood of a negative four-sigma event is one day every one hundred years; yet we have seen this take place an astounding 44 times since 1927…”

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  5. James Rickards on the Huge Threats to the Financial Markets
February 22, 2012 Black Swans, Papers Short URL