Tail Risk Model Risk, What's the Difference?
Is one just a more general form for the other?
Also, can someone provide a definition of tail risk? I can’t find a good definition anywhere. The best I’ve got is:
“Tail risk is a form of portfolio risk that arises when the possibility that an investment will move more than three standard deviations from the mean is greater than what is shown by a normal distribution.”
But this raised the question that this thread is trying to address i.e. what the difference between tail risk and model risk is.