Tail risk can be evaluated by assuming a normal distribution and computing the probability of such an event.
Is that how "tail risk" should be evaluated?

Events more than three standard deviations from the mean are very rare for normal distributions. However, they are not as rare for other distributions such as highly-

skewed distributions. If the normal distribution is used to assess the probability of tail events defined this way, then the "tail risk" will be underestimated.