I provide a measure of time-varying tail risk in credit markets based on a dynamic power-law model. Credit tail risk is … existence of a finite second moment. Sellers of short-term CDS protection bear a higher tail risk of more extreme returns than … probability of credit default imply a greater tail risk than in the peripheral region. This phenomenon can be explained by the …

, which is called G-bounds. Constructed G-bounds evaluate risk in the financial markets more carefully than models based on …, the closer the risk of losses on the stock market to the corresponding risk of loss for a normal distribution, the higher …