distributions of both risk factors are thin-tailed,the credit loss distribution may have a finite tail index (polynomial tails … loss. This unconventionalbehaviour of the credit loss density has not been reported earlier in theliterature. We also … derive analytically the interaction between portfolioquality and credit loss tail behavior and find a striking difference …

-implied conditional expectation of market loss due to tail events, or tail loss measure, predicts future market returns, magnitude, and … probability of the market crashes, beyond and above other option-implied variables. Stock-specific tail loss measure predicts … cares about the left tail of her wealth distribution benefits from using the tail loss measure as an information variable to …