The 2007–9 global financial crisis and the 2020–21 Covid-19 pandemic have highlighted the importance of understanding tail risks. In this paper, we study two types of tail risks – banking credit risk and the financial market jump hazard rate – and investigate their relationship. Based on two decades of daily credit default swap data and intraday equity and fixed-income futures data that include these two crises, we find a tale of two tail risks: banking credit risk is high during crises and low during booms, while the jump hazard rate is the opposite. Banking credit risk negatively affects the jump hazard rate. The opposite behaviors of the two tail risks are robust to the tests we use to detect jumps. The underlying statistical reason is the countercyclical nature of volatility, which is high in bad times and low in good times, leaving less room for jumps to occur in bad times and more room in good times.