Final answer:
Standard deviation does not specifically measure tail risk in financial analysis; it measures overall volatility. Tail risk is measured using Expected Shortfall, Value at Risk, and the Frequency of Negative 3-Sigma Returns, which focus on extreme losses in the tails of the distribution.
Step-by-step explanation:
Financial analysts measure tail risk by evaluating the risk of extreme changes in asset prices, which can lead to large losses. They use various metrics, but the one that does not specifically measure tail risk is standard deviation (option c). The standard deviation is a measure that captures the overall variability or volatility of returns, but it does not focus on the tails of the distribution.
The metrics that do measure tail risk are Expected Shortfall and Value at Risk (VaR). These provide information on potential losses in the worst-case scenarios, often defined as the losses that could occur in the lowest percentage of cases (e.g., 1% or 5%). The Frequency of Negative 3-Sigma Returns is another metric that considers the frequency of returns that are three standard deviations below the mean, falling into the tail of the distribution.
In summary, the options that measure tail risk, include Expected Shortfall, the Frequency of Negative 3-Sigma Returns, and VaR; whereas standard deviation measures overall volatility without particular focus on the extreme ends or tails of the distribution.