# Leptokurtosis (Fat Tails)

Submitted by Abe F. in Finance
June 16, 2016
The property of a statistical distribution to have more occurrences far away from the mean than would be predicted by a normal distribution. Since a normal distribution has a kurtosis measure of 3, excess kurtosis (Kx) is defined as Kx 3. A credit portfolio distribution will typically be leptokurtotic given positive obligor correlations or coarse granularity in the size/number of exposures. This means that a downside confidence interval will be further away from the mean than would be expected given the standard deviation and skewness.