Past tail risk is not a good indicator of future tail risk
klementoninvesting.substack.com
The insurance industry and other institutional investors are increasingly focused on tail risk protection. This has gone so far that Solvency II regulations require insurance companies to hold solvency capital reserves that increase in response to rising tail risks. Similarly, both pension funds and wealth managers monitor value at risk and there are several asset managers and wealth managers out there that have designed investment products that reduce risk as value at risk or tail risks rise and increase risk as value at risk or tail risk declines.
Past tail risk is not a good indicator of future tail risk
Past tail risk is not a good indicator of…
Past tail risk is not a good indicator of future tail risk
The insurance industry and other institutional investors are increasingly focused on tail risk protection. This has gone so far that Solvency II regulations require insurance companies to hold solvency capital reserves that increase in response to rising tail risks. Similarly, both pension funds and wealth managers monitor value at risk and there are several asset managers and wealth managers out there that have designed investment products that reduce risk as value at risk or tail risks rise and increase risk as value at risk or tail risk declines.