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Beyond Normal Distribution, May 2009

Volatility, or the standard deviation of return, is used widely throughout the investment industry as a measure of portfolio risk. If returns follow the normal distribution then volatility is a complete measure of risk. In the last few years we have seen increasing interest in risk measures that go beyond the normal distribution. These measures complement volatility by quantifying the risk of extreme events. In this article we examine some of these measures of tail risk and show how they can be used to enhance the risk management process of multi-asset class portfolios.