Using a limiting approach to portfolio credit risk, we obtain analyticexpressions for the tail behavior of the distribution of credit losses. We showthat in many cases of practical interest the distribution of these losses haspolynomial ('fat') rather than exponential ('thin') tails. Our...

This paper proposes and evaluates several market-based measures for US and eurozone individual bank tail risk and banking system risk. We apply statistical extreme value analysis to the tails of bank equity prices to estimate the likelihood of individual institutions financial distress as well...

The tail of financial returns is typically governed by a power law (i.e. “fat tails”). However, the constancy of the so-called tail index α which dictates the tail decay has been hardly investigated. We study the finite sample properties of some recently proposed endogenous tests for...