A private bank has a loan-against-shares book, a large base of client deposits, a cluster of mis-selling complaints and a recent IT outage. Rank its risks by expected and tail loss, and name the greatest.

The greatest risk is a deposit run, because the conduct cluster and the outage feed it and it cannot be cut once it starts. By expected loss the complaints rank first, about Rs 18 crore, then loans against shares at Rs 6 crore. By tail, a 30% run pulls Rs 2,400 crore against Rs 2,000 crore of liquid assets, a Rs 400 crore shortfall; the conduct tail is about Rs 200 crore and the share-loan tail about Rs 150 crore.

A household faces a steady drip of small costs, like repairs, and a rare large one, like a fire. The first shapes the monthly budget; the second decides whether the family survives. Expected loss tells you what a risk costs in an ordinary year; tail loss tells you whether it can end the business, and the greatest risk is the one with the largest tail you cannot quickly cut. A bank that manages only the first list is well run until the year it is not.

Credit on the share-backed book: an ordinary-year loss of about 0.2%, Rs 6 crore. The tail sits in the Rs 750 crore lent against Rs 1,500 crore of small-company shares: a 60% gap down leaves Rs 600 crore of collateral, a Rs 150 crore loss. Conduct: if half of 300 complaints at Rs 12 lakh are upheld, Rs 18 crore; if the regulator widens the review to all 3,000 buyers, about Rs 180 crore plus an illustrative Rs 20 crore penalty. The outage: about Rs 5 crore expected and Rs 40 crore in a bad case. On expected loss, conduct ranks first; on tail loss among these three, conduct and the share-backed book are close.

Because the other risks are its triggers. Complaints and an outage in the news are exactly what makes wealthy clients move money, and private bank clients can move large sums in hours. A 30% run takes Rs 2,400 crore against Rs 2,000 crore of liquid assets, leaving a Rs 400 crore gap that can only be met by selling or pledging loans at a discount, while confidence is falling. A market crash would hit the share-backed book and client confidence in the same week, so the tails arrive together. The share-backed book can be cut in days by raising margins; complaints can be settled; an outage can be fixed. A run cannot be slowed once it starts, which is what makes it the greatest risk.

Cut the triggers and widen the buffer. Settle the complaint cluster quickly and fairly, and review every sale of the product before the regulator asks, so the story ends on the bank's terms. Fix and test the systems that failed, and tell clients what was done. Tighten margins on concentrated share-backed loans before a market fall forces it. And hold more liquid assets or committed funding lines against a run. Say the limit: every number here is an illustrative estimate; the ranking depends on the correlations between risks more than on any single figure.