2004, Srichander Ramaswamy, Managing Credit Risk in Corporate Bond Portfolios, ISBN0471430374, page 123:
The advantage of performing a simulation is that different tail risk measures can be computed from the simulated loss distribution.
2011, International Monetary Fund, Capital Regulation and Tail Risk, ISBN1463900651, page 4:
Hence, under tail risk, excess risk-shifting incentives of bank shareholders may exist almost independently of the level of initial or required capital.
Given this backdrop and these fears, “tail risk” hedging, or protecting investment portfolios against extreme negative moves in the market, has been a frequent topic of conversation among market participants.