Our paper represents the first attempt in the literature to estimate the properties of business income risk from …-2009, we extensively document the empirical stylized facts about the evolution of various business income risk measures over …

facts of income risk from privately held businesses in the US using a large panel. We employ a new, large, and confidential … distribution of business income risk has less mass in the middle and exhibits significantly thicker tails, compared to the … distribution of labor income risk. Our data also suggest that high-income households are more likely to face the tail risks on both …