The first confirmed case of Coronavirus Disease 2019 (COVID-19) in the US was reported on January 21, 2020. By the end of March, 2020, there were more than 180,000 confirmed cases in the US, distributed across more than 2000 counties. We find that the right tail of this distribution exhibits a...

Value-at-Risk (VaR) and Expected Shortfall (ES) are common high quantile-based risk measures adopted in financial regulations and risk management. In this paper, we propose a tail risk measure based on the most probable maximum size of risk events (MPMR) that can occur over a length of time....