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Normal probability distribution

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Normal probability distribution
A probability distribution for a continuous random variable that forms a symmetrical bell-shaped curve around the mean. This distribution has no skewness or excess kurtosis.


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VaR models also tend to plug in weird assumptions that typically deliver unrealistically low risk numbers: the assumption, for instance, that markets follow a normal probability distribution, thus ruling out extreme events.
A fairly well-known example is that many types of measurements tend to distribute themselves in a bell-shaped pattern around the group average, called the Normal Probability Distribution.
 
 
 
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