Parmesan, say, is bad luck (4,6)
I believe the answer is:
hard cheese
'luck' is the definition.
(I know that hard cheese is a type of bad luck)
'parmesan say is bad' is the wordplay.
I cannot really see how this works, but
'bad' could be 'hard' (similar in meaning) and 'hard' is located in the answer.
'parmesan say' could be 'cheese' (parmesan is a kind of cheese) and 'cheese' is located in the answer.
No letters remain.
This explanation may well be incorrect...
Can you help me to learn more?
(Other definitions for hard cheese that I've seen before include "Expression of sympathy" , "Tough luck (informal)" , "Eighteen [EMMENTAL], for instance" , "mousetrap" , "Pecorino" .)