Skew Lognormal Cascade Distribution : modelling the fat tails of the market. (opens in new tab)

This website is set up to present the Skew Lognormal Cascade Distribution, proposed by Stephen Lihn in 2008; and subsequently Poisson Subordinated Distribution in 2012. More and more evidences tell us that tail risk is omnipresent (it is everywhere, universal). With this distribution, a large portion of the tail risk in the financial market can be quantitatively measured. This distribution exhibits fat-tail, asymmetry tunable by a skew parameter, converges to normal distribution, and has fini...