Kurtosis Risk
In statistics and decision theory, the risk that results when a statistical model assumes the normal distribution, but is applied to observations that have a tendency to occasionally be much farther (in terms of number of standard deviations) from the average than is expected for a normal distribution.
Origin
Karl Pearson coined leptokurtic, platykurtic, and mesokurtic in his 1905 Biometrika paper, giving statisticians a vocabulary for fat-tailed distributions. Benoît Mandelbrot demonstrated the financial consequences in 1963, showing in the Journal of Business that cotton-price movements deviated sharply from the normal distribution. Nassim Nicholas Taleb brought the risk to broad public attention in Fooled by Randomness (2001) and The Black Swan (2007), arguing that financial models systematically underpriced extreme events.