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A new heuristic measure of fragility and tail risks : application to stress testing
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| 자료유형 | 단행본 |
|---|---|
| 서명/저자사항 | A new heuristic measure of fragility and tail risks : application to stress testing/ prepared by Nassim N. Taleb [and others]. |
| 개인저자 | Taleb, Nassim Nicholas,1960- author, |
| 단체저자명 | International Monetary Fund. Monetary and Capital Markets Department. |
| 발행사항 | [Washington, D.C.]: International Monetary Fund, ?012. |
| 형태사항 | 1 online resource (24 pages). |
| 총서사항 | IMF working paper;WP/216 |
| ISBN | 9781475595659 1475595654 1475505663 9781475505665 1475514972 9781475514971 |
| 일반주기 |
Title from PDF title page (IMF Web site, viewed Aug. 31, 2012).
"Monetary and Capital Markets Department." "September 2012." |
| 서지주기 | Includes bibliographical references. |
| 요약 | 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. |
| 일반주제명 | Banks and banking --Mathematical models. Banks and banking --Forecasting. Debts, Public --Mathematical models. Debts, Public --Forecasting. BUSINESS & ECONOMICS --Finance. |
| 언어 | 영어 |
| 바로가기 |  |
