What defines tail risk?

 "An investor could lose the full principal value of his/her investment within a single day if the index loses more than 33% in one day." ...


Largest daily percentage losses in the S&P 500 Index since 1957 [1]

 1. 1987-10-19   -20.47%

 2. 1929-10-28   -12.34%

 3. 2020-03-16   -11.98%

 4. 1929-10-29   -10.16%

 5. 1929-11-06   - 9.92%

 6. 2020-03-12   - 9.51%

 7. 1937-10-18   - 9.27%

 8. 2008-10-15   - 9.04%

 9. 2008-12-01   - 8.93%

10. 1933-07-20   - 8.88%


A 33% loss in one day has not occurred since 1957.  I suppose it's unlikely to occur, but there's always a chance.  Even the worst market shock due to the recent pandemic was -12%.  What would cause a 33% loss?

This is called tail risk, right?


[1] "List of largest daily changes in the S&P 500 Index." Wikipedia. Last edited on 2 July 2022 11:11 CDT. https://en.wikipedia.org/wiki/List_of_largest_daily_changes_in_the_S%26P_500_Index

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