The tail risk thickness factor extracts the shape parameter by fitting the generalized extreme value distribution of the residual yield minimum sequence. This parameter can effectively capture the tail characteristics of the yield distribution, especially focusing on extreme downside risk. The larger the shape parameter $\gamma$, the thicker the tail of the yield distribution, the higher the probability of extreme negative yield events, and the greater the risk. Empirical studies have shown that in some markets (such as the U.S. stock market), this factor is positively correlated with the expected returns of stocks, but there may be differences in performance in the A-share market, which requires further study. This factor is a supplement to the traditional volatility factor. It focuses on the extreme cases of the yield distribution rather than the overall volatility level.