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Continue to ChatOne important measurement issue concerns the fat tails problem that I mentioned earlier. VAR is concerned with extreme outcomes. If the tails of the probability distributions we are using are too thin, our VAR measures are likely to be too low. - John Hull from https://whatsmyquote.com/quote/one-important-measurement-issue-concerns-the-fat-tails-problem-that-i-mentioned-earlier-var-is-concerned-with