| LDR | | 03772cam 2200733Ia 4500 |
| 001 | | 000000385482 |
| 005 | | 20180411151443 |
| 006 | | m o d |
| 007 | | cr cnu---unuuu |
| 008 | | 120831s2012 dcu ob i000 0 eng d |
| 019 | |
▼a 813206873
▼a 903698890
▼a 961570964
▼a 962681936
▼a 965967523
▼a 988508193
▼a 992063624 |
| 020 | |
▼a 9781475595659
▼q (electronic bk.) |
| 020 | |
▼a 1475595654
▼q (electronic bk.) |
| 020 | |
▼a 1475505663 |
| 020 | |
▼a 9781475505665 |
| 020 | |
▼a 1475514972 |
| 020 | |
▼a 9781475514971 |
| 020 | |
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| 020 | |
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| 035 | |
▼a (OCoLC)808811760
▼z (OCoLC)813206873
▼z (OCoLC)903698890
▼z (OCoLC)961570964
▼z (OCoLC)962681936
▼z (OCoLC)965967523
▼z (OCoLC)988508193
▼z (OCoLC)992063624 |
| 040 | |
▼a DJB
▼b eng
▼e pn
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▼d 247004 |
| 050 | 4 |
▼a HG3881.5.I58 |
| 072 | 7 |
▼a BUS
▼x 027000
▼2 bisacsh |
| 082 | 04 |
▼a 332.1/52
▼2 23 |
| 245 | 02 |
▼a A new heuristic measure of fragility and tail risks :
▼b application to stress testing/
▼c prepared by Nassim N. Taleb [and others]. |
| 260 | |
▼a [Washington, D.C.]:
▼b International Monetary Fund,
▼c ?012. |
| 300 | |
▼a 1 online resource (24 pages). |
| 336 | |
▼a text
▼b txt
▼2 rdacontent |
| 337 | |
▼a computer
▼b c
▼2 rdamedia |
| 338 | |
▼a online resource
▼b cr
▼2 rdacarrier |
| 347 | |
▼a data file
▼2 rda |
| 490 | 1 |
▼a IMF working paper;
▼v WP/216 |
| 500 | |
▼a Title from PDF title page (IMF Web site, viewed Aug. 31, 2012). |
| 500 | |
▼a "Monetary and Capital Markets Department." |
| 500 | |
▼a "September 2012." |
| 504 | |
▼a Includes bibliographical references. |
| 520 | |
▼a 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. |
| 590 | |
▼a eBooks on EBSCOhost
▼b All EBSCO eBooks |
| 650 | 0 |
▼a Banks and banking
▼x Mathematical models. |
| 650 | 0 |
▼a Banks and banking
▼x Forecasting. |
| 650 | 0 |
▼a Debts, Public
▼x Mathematical models. |
| 650 | 0 |
▼a Debts, Public
▼x Forecasting. |
| 650 | 7 |
▼a BUSINESS & ECONOMICS
▼x Finance.
▼2 bisacsh |
| 655 | 4 |
▼a Electronic books. |
| 700 | 1 |
▼a Taleb, Nassim Nicholas,
▼d 1960-
▼e author, |
| 710 | 2 |
▼a International Monetary Fund.
▼b Monetary and Capital Markets Department. |
| 830 | 0 |
▼a IMF working paper ;
▼v WP/12/216. |
| 856 | 40 |
▼u http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=568120 |
| 938 | |
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▼a YBP Library Services
▼b YANK
▼n 9927175 |
| 938 | |
▼a YBP Library Services
▼b YANK
▼n 10691611 |
| 990 | |
▼a ***1012033 |
| 994 | |
▼a 92
▼b KRDHU |