Tail risk parity

Tail risk parity is an extension of the risk parity concept that takes into account the behavior of the portfolio components during tail risk events.wikipedia
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Risk parity

Risk premia parity
Tail risk parity is an extension of the risk parity concept that takes into account the behavior of the portfolio components during tail risk events.
Tail risk parity

Tail risk

Tail risk parity is an extension of the risk parity concept that takes into account the behavior of the portfolio components during tail risk events.
Tail risk parity

Holy grail distribution

Holy grail distribution
Protection of a diversified investment portfolio from market crashes (extreme events) can be achieved by using a tail risk parity approach, allocating a piece of the portfolio to a tail risk protection strategy, or to a strategy with Holy grail distribution of returns.

Portfolio (finance)

portfolioinvestment portfolioportfolios
Tail risk parity is an extension of the risk parity concept that takes into account the behavior of the portfolio components during tail risk events.

Financial crisis

economic crisisfinancial criseseconomic crises
The goal of the tail risk parity approach is to protect investment portfolios at the times of economic crises and reduce the cost of such protection during normal market conditions.

Expected shortfall

average value at riskconditional value at riskExpected tail loss
In the tail risk parity framework risk is defined as expected tail loss.

Correlation and dependence

correlationcorrelatedcorrelate
Traditional portfolio diversification relies on the correlations among assets and among asset classes, but these correlations are not constant.

Asset classes

asset class
Because correlations among assets and asset classes increase during tail risk events and can go to 100%, TRP divides asset classes into buckets that behave differently under market stress conditions, while assets in each bucket behave similarly.

Drawdown (economics)

drawdowndrawdownsmaximum drawdown
During tail risk events asset prices can fall significantly creating deep portfolio drawdowns.

Diversification (finance)

diversificationdiversifieddiversify
Traditional portfolio diversification relies on the correlations among assets and among asset classes, but these correlations are not constant.

Outline of finance

List of valuation topicsFinanceList of insurance topics
Tail risk parity