Coverart for item
The Resource A new heuristic measure of fragility and tail risks : application to stress testing, prepared by Nassim N. Taleb [and others], (electronic resource)

A new heuristic measure of fragility and tail risks : application to stress testing, prepared by Nassim N. Taleb [and others], (electronic resource)

Label
A new heuristic measure of fragility and tail risks : application to stress testing
Title
A new heuristic measure of fragility and tail risks
Title remainder
application to stress testing
Statement of responsibility
prepared by Nassim N. Taleb [and others]
Contributor
Subject
Language
eng
Summary
This paper presents a simple heuristic measure of tail risk, which is applied to individual bank stress tests and to public debt. Stress testing can be seen as a first order test of the level of potential negative outcomes in response to tail shocks. However, the results of stress testing can be misleading in the presence of model error and the uncertainty attending parameters and their estimation. The heuristic can be seen as a second order stress test to detect nonlinearities in the tails that can lead to fragility, i.e., provide additional information on the robustness of stress tests. It also shows how the measure can be used to assess the robustness of public debt forecasts, an important issue in many countries. The heuristic measure outlined here can be used in a variety of situations to ascertain an ordinal ranking of fragility to tail risks
Member of
Dewey number
332.1/52
Government publication
international or intergovernmental publication
Index
no index present
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
http://library.link/vocab/relatedWorkOrContributorDate
1960-
http://library.link/vocab/relatedWorkOrContributorName
  • Taleb, Nassim Nicholas
  • International Monetary Fund
Series statement
IMF working paper
Series volume
WP/216
http://library.link/vocab/subjectName
  • Banks and banking
  • Banks and banking
  • Debts, Public
  • Debts, Public
Label
A new heuristic measure of fragility and tail risks : application to stress testing, prepared by Nassim N. Taleb [and others], (electronic resource)
Instantiates
Publication
Note
  • Title from PDF title page (IMF Web site, viewed Aug. 31, 2012)
  • "Monetary and Capital Markets Department."
  • "September 2012."
Antecedent source
unknown
Bibliography note
Includes bibliographical references
Color
multicolored
Control code
ocn808811760
Dimensions
unknown
Extent
1 online resource (24 pages)
File format
unknown
Form of item
online
Isbn
9781475595659
Level of compression
unknown
Note
eBooks on EBSCOhost
Quality assurance targets
not applicable
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
System control number
(OCoLC)808811760
Label
A new heuristic measure of fragility and tail risks : application to stress testing, prepared by Nassim N. Taleb [and others], (electronic resource)
Publication
Note
  • Title from PDF title page (IMF Web site, viewed Aug. 31, 2012)
  • "Monetary and Capital Markets Department."
  • "September 2012."
Antecedent source
unknown
Bibliography note
Includes bibliographical references
Color
multicolored
Control code
ocn808811760
Dimensions
unknown
Extent
1 online resource (24 pages)
File format
unknown
Form of item
online
Isbn
9781475595659
Level of compression
unknown
Note
eBooks on EBSCOhost
Quality assurance targets
not applicable
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
System control number
(OCoLC)808811760

Library Locations

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