Kurtosis

What it means

The weight of a distribution’s tails. Excess kurtosis is kurtosis minus 3, so a normal distribution has excess kurtosis of zero.

The exam angle

Leptokurtic — positive excess kurtosis — means extreme outcomes are likelier than normal. Financial returns are reliably leptokurtic, which is why normal-based VaR understates the tail.

Where it appears in the syllabus

• Quantitative MethodsCFA Level I · exam weight 11–14% · Returns and benchmarks, time value, distributions, portfolio maths, regression.
• Quantitative AnalysisFRM Part I · exam weight 20% · Probability, hypothesis testing, regression, time series, volatility, simulation.
• Market Risk Measurement & ManagementFRM Part II · exam weight 20% · VaR and ES estimation, backtesting, EVT, GARCH, copulas, FRTB.

Related terms

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• Standard deviationThe square root of variance, in the same units as the data.
• Arithmetic meanThe sum of the observations divided by their number.
• BootstrapResampling the observed data with replacement to estimate the sampling distribution of a statistic, without assuming a…
• Central limit theoremFor a large enough sample, the distribution of the sample mean approaches normal regardless of the shape of the…